Some users experience that when a photo or image is not downloaded (has the small X overlay over the file's icon), then the file will not open by simply double-clicking it.
The issue seems to come up when Windows Photo Viewer is set as the default image viewer program.
Other programs, like Paint, download and open these files without problems.
Try using a different image viewer program.
This article will be updated with other workarounds if available, and will be removed when the issue is fixed.