For more on the farce that is Filename Extensions see
Wikipedia: Filename_extension. You may also find
Windows Annoyances a useful resource.
The association (as it is called) between .mat and Microsoft Access will have come with some bit of software (most likely microsoft, quite likely windows itself) if you've never had Access installed on there, couldn't tell which bit exactly off the top off my head
Should you desire, you can change the association:
select a .mat file in the Windows Explorer (Start > Programs > Accessories > Windows Explorer)
right click and select properties
click on change next to 'Opens with:'
use the dialog to select your prefered application (gnubg I would imagaine)
or, for extra marks, you can edit the association directly in the registry
