This can happen if the Windows File Extensions have been affected. To reset them, go to the Folder Options from the Tools menu in Windows Explorer and delete the file extensions (.sldprt,.sldasm, and/or .slddrw) that is causing a problem. Then, find a part, assembly or drawing file, right click on it and choose Open with and select SolidWorks from the list.
Hope this helps..
This wont happen at all if you open your files up in a SW session or through SW Explorer.
Thanks SCOTT for your answer.
Partially correct: with a double-click on a part/assembly/drawing using the File Explorer into the Task Pane everything is ok, no further session is opened.
With Solidworks Explorer nothing change: with a double-click on a SW file another session is opened.
Thanks again, now I'll try to do like Ajay suggested me.