When my program is launched by double clicking on a file how can I get the file name?

Homero Rivera used a C# example but the principle still stands...You can declare your Main function with arguments (parameters) e.g.

Module Module1
    Sub Main(ByVal CmdArgs() As String)
        For Each s As String In CmdArgs
            Console.WriteLine(s)
        Next
        Console.ReadKey()
    End Sub
End Module

If you declare the Main function without arguments then you can still access the command line arguments as per the link provided by Peter_in_2780 e.g.

Module Module1
    Sub Main()
        For Each t As String In My.Application.CommandLineArgs
            Console.WriteLine(t)
        Next
        Console.ReadKey()
    End Sub
End Module

In addition to making a file extension association as you have done, you can also drop files onto the executable for the same effect, or copy your executable into (e.g.) C:\Users\Default\AppData\Roaming\Microsoft\Windows\SendTo so it will appear in the context menu when you right-click on a file in Explorer