Greenfoot 2.4.2 had two versions, one that includes a JDK (which is the filename you describe) and one without. Assuming you installed to the default location, if you look in the directory: You should see "jdk" folder that is just over 300MB (if you right-click it and select properties). Double-clicking the "Greenfoot.exe" file in there should load up without warning. If you are seeing a warning when double-clicking "project.greenfoot" files elsewhere, it may be that the file association is wrong in Windows somehow. You can try fixing it by right-clicking those files and saying "Open with" then navigating to the directory above and selecting Greenfoot there. Or you can use the Scenario->Open menu item once Greenfoot loads, to load the project that way.

That solved it! Thanks so much for your help. Navigating to the jdk folder in the Greenfoot directory worked.