Behold gives you the ability to change the program now associated with GEDCOM files so that Behold will be the default program used. The advantage of doing this (other than getting those cute little icons) is that it will allow you to simply click on one of those icons in Windows Explorer or other programs and Behold will start up and load that file.
You can change the association by selecting Associate... from the File menu, and the above window will appear. Try opening the associate window now. Close it once you're done.
The icon represents the file or program that is associated with a certain file type, in this case, files with the .ged at the end of their name. You may not see the .ged on the end of your file names because by default Microsoft wants to hide things like that from you. But trust me, most files have extensions on their names to increase their usefulness.
You may not want to change the GEDCOM file association to Behold if you use another program for your genealogy editing, since you may want that program to open when you click on a GEDCOM file icon. But you probably should associate Behold Organize files (with the .bho extension), since there are no other programs of any type that I know of that currently use the .bho extension.