The .ext (for example) extension is not known to media player, hence the warning.

What you can do to change this is modify the registry and register this extension. This is described officially here: File Name Extension Registry Settings

The most simple way to do it is to create a registry key like this:

HKEY_CURRENT_USER\Software\Microsoft\MediaPlayer\Player\Extensions\.ext

And add two key values:

Runtime (DWORD): 6
Permissions (DWORD): 15 (or 0xF in hexa)

This is shown here: