You can choose to make Behold your default program to open GEDCOM files or Behold Organize files. If you do so, then the icons Windows uses to represent these two files will be as shown above.
You may or may not want to set Behold to be your default program to open GEDCOM files. Only do so if you don't have another genealogy program that you primarily use.
Normally, you will want to associate Behold Organize files with Behold, since no other program uses them.
Note that if you install another genealogy program, it may take over the the default program status for GEDCOM files without asking you. That is bad behavior. Behold will never do that, but requires that you make the decision to set the defaults.