I open Windows Explorer, right-click on a file (let's say a .txt file or a
..doc file) and select "Open".
The file opens normally with the appropriate program (Notepad for .txt, MS
Word for .doc).
All is good.

Now, if I select 2 files or more in Windows Explorer and right-click and
select Open, I first get this annoying dialog box:
Move Items
Select the place where you want to move '(file name)'. Then click the Move
button.
The dialog box is the same one that appears if I were to right-click on the
files and select "Move" instead of "Open".
So, when the dialog box opens, I have to hit "Cancel" and then it opens the
first file.
Then the Move dialog box shows up again with the second file name, I hit
cancel and it opens.
This happens once per file highlighted.

Does anyone know how to fix that problem?

Thank you, Cristian.