>I define an associated file type (*.pet) in Windows Explorer and say to open it with a VFP executable. Double-clicking a sample file with this extension in Windows Explorer properly starts the .exe and passes it the file name as a parameter, but the VFP executable doesn't run - it immediately closes.
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>Do I need to do something in particular with the passed file in the app?

Your application main program should at least accept a parameter. What you do with it is up to you.