The file does not have an app associated with it for performing this action

The file does not have an app associated with it for performing this action. This happens when i use the lockdown tool in one session and login as different user.
Regardless of even i deselect all the options in lockdown tool it still doesnt allow me full functionality in another user.

Is this tool user login specific or does it work on entire computer itself regardless of which ever user we signin with ?

Did you move the Windows Library folders (and files within them) to a drive other than "C"? Secure Lockdown prohibits access to the C drive by the user.

Secure Lockdown does have "Machine Level" settings (see the System Lockdown > Machine Level options in the utility).