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Why doesn't closing a file return me to Microsoft Windows Explorer?

If you open a Windows document in Windows Explorer rather than in the Microsoft Word interface, closing it launches File Explorer. The file hasn't moved.

Opening files from Microsoft Windows Explorer works a little differently from opening files in other situations. For example, when you open a file from a dialog box in an application, such as Microsoft Word, once you select the file and it is opened, you are returned to the main Microsoft Word interface.

When you click Start and select Documents, Windows Explorer actually closes and launches File Explorer. From there you open the file. In essence, you have left Windows Explorer and actually opened the file from File Explorer.

This is a bit different from the way users work with most dialogs and file interfaces and can leave us wondering if we missed something. Fortunately, this difference in Microsoft Windows Explorer seems to be a conscious design decision on Microsoft's part.

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Have you noticed any other quirks in Microsoft Windows Explorer?
Internet Explorer is filled with all sorts of strange interactions with all sorts of things, particularly in JavaScript. In addition to disabling scripts which have no potential to be harmful (i.e inputs and textfields), it also doesn't support other elements seemingly at random, such as a date input field or an HTML5 color picker.
The largest frustrations that we have is the fact that Internet Explorer has, at least up until IE11, provided a totally different user experience for sites that utilize CSS/JavaScript and various frameworks. It's also considerably slower, in my experience, compared to both Chrome and Firefox. Additionally, many of the tools that are most helpful to me exist in Chrome and Firefox and comparable tools and modules do not exist in IE.
It's just a curiosity, I think. Every file has an icon and filename. Explorer comes with a built-in utility for opening and closing files.
Sounds like your file associations are linking you to a program you don't want. Try to reset your default programs from your Control Panel. Or consider moving on from Explorer, at least until the next update arrives.