The AdventureWorks files aren't files like Word or Excel. These are databases. You cannot browse them. They need to be attached to the SQL Server instance in order for it to perform queries on them.

sp_attach_db or using the GUI (right click the Databases folder) you can attach the files. However it's not your account, it's the service account that runs SQL Server that does this.

The best way to do this is to copy the .mdf and .ldf files to the \Data folder under SQL Server. This is usually under C:\Program Files\Microsoft SQL Server\MSSQL10.MSSQLSERVER\MSSQL\DATA or something similar.

Then run the attach.