What file menu does it open?
Okay the File menu in photoshop. That's because the alt key is activated which generally on windows in photoshop activates the menus unless you have another modifier key pressed..
You could just tap the alt key again to escape from the menu activation before using the arrow key or you could set the preference in Edit>Preferences>General>Zoom with Scroll Wheel to avoid that.
Wonderful - Changing the preference to zoom with scroll did the job, will have to break my habit of holding alt to scroll but well worth not having the menu open and having to reselect every time.