1. Are you using Windows/ Mac OS?
2. Check the filetype association to ensure the desired filetype is associated with Photoshop CS6 by default. If you upgraded from CS5 or earlier, you may want to force change your filetype association to Photoshop CS6 once for all filetypes you'd like to open with CS6
3. Do you have any dialog box (such as Open) open in Photoshop when you try double clicking a file from your explorer/ finder. In this case, Photoshop will not open the file when you doubleclick outside
4. If the prior solutions don't work, try resetting your Photoshop Preferences by following these instructions: http://forums.adobe.com/thread/375776