I don’t know what it is called but I want to be able to double click on my saved file and then my program should open and load the file. What is this called and how do I do it?
I am using c# wpf and .net 4.0
BR
How about the last 2 fields, what am I supposed to write there?

That is a file association, if you want this to happen on a client machine you need to register your application as the default application for a given extension. This question might be handy.
To actually handle the opening you need to process the arguments that are handed to your application, they will contain the file path. You can get the arguments either in the override of
Application.OnStartup(e.Args) orEnvironment.GetCommandLineArgs.