In windows explorer go to tools -> folder options (in xp and 98 / me I think). Click on file types. Click the new button and create your file type, and associate it with your application file (by selecting your type and clicking "advanced" - use windows help to guide you).
When a user double clicks a saved game, windows open your program with the command line parameter of the game location. The get he game to load, use the code as seen above:
gametoload$ = CL$()
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GRAVITY: I fought the law but the law won