I downloaded Blender 2.5, but I can’t open a .blend file by double clicking, I have to open through File>Open. How do I fix this?
You’ll have to change the file association in your operating system.
From your profile picture I assume you are using OSX http://www.fileinfo.com/help/mac_change_program
Note that I have found OSX to be absolutely rubbish in remembering what version of blender to open a blend file if I have multiple versions of blender.