AutoCAD/LT does not correctly open a DWG file from a Windows Explorer by double-clicking, but displays the message: "Windows cannot find '*.dwg'. Make sure you typed the name correctly, and then try again. To search for a file, click the Start button, and then click Search..." .
The problem seems to be the way AutoCAD/LT since version 2007 starts: instead of launching the program, file it goes through a 'launcher' instead.
There are several ways to fix this problem, two locations posted that seem to work for most users are at Autodesk's Discussion Area as well as HERE.