On Windows, in the Explorer window, I always used my arrow keys to highlight a file, then simply tapped Return/Enter to open the file. I like to keep my fingers on the keyboard as much as possible.
That doesn’t work the same way on a Mac. Hitting Return/Enter on a highlighted file in a Finder window makes the filename editable. To open a highlighted file in a Finder window, you’re supposed to type Command ⌘ + O (O for Open).
See Tip #36: How to Rename Files Or Folders from Cult of Mac.
Since I use LaunchBar for a lot of file-digging in Mac OS, this doesn’t bother me all that much. I’ve seen several references to ReturnOpen, a free utility for Mac that allows you to open files with Return/Enter, but I haven’t had a chance to try it out yet.
Of course, you can always use the mouse to double-click to open a file, but I’m always trying to find a keyboard shortcut if possible.