When you double-click a file in SharpDevelop 2.x, it will get opened inside SharpDevelop. AddIns can add display bindings opening for opening file types (e.g. ResourceEditor for .resx files), but this has the effect of disabling the other display bindings for that file type - In SharpDevelop 2.x, you cannot open a .resx file inside the text editor (except if you disable the ResourceEditor AddIn).
In SharpDevelop 3.0, you can now right-click a file in the project browser and select "Open With...". A dialog will show the list of display bindings that can handle the file type. There also is the entry "Use the default Windows application for this file" which will open the file as if you double-clicked it in Windows Explorer.
You can add new programs to the "Open With" list. SharpDevelop will store the list programs for each file extension in the SharpDevelop settings.
Here is a screenshot of the "Open With"/"Add program" dialog:
A very useful feature of the "Open With" dialog is the "Set as Default" button. This will mark an entry as the default program for opening files with the same extension in SharpDevelop. Double-clicks in the project browser will run the chosen default program. ("Set as Default" does not have any effect on double-clicks in Windows Explorer)
For example, SharpDevelop does not have a built-in image viewer/editor, so if you don't want the text editor, which is the fall-back for unknown file types, to open images, you can "Open With" a .png file in your project, enter your favorite image editor and set it as default program for .png.