In general, there is no need to change the settings of external file types. So, this setting is for advanced users.
For each file link, a file type must be chosen, to determine what icon should be used and what application should be called to open the file. The list of file types can be viewed and edited by choosing Options → Preferences, tab External file types.
A file type is specified by a graphical icon, a name, a file extension and an application to view the files. On Windows, the name of the application can be omitted in order to use Window's default viewer instead.