If you're opening the application by double-clicking on the file in your computer's filesystem the debugger built in to Visual Studio won't be attached to the application's process and so won't break at your breakpoints. You can attach the debugger to a running process, but what you're talking about happens fairly quickly, so you will almost certainly not be able to attach to the process fast enough to set your breakpoints and catch the execution as it passes them.
Ultimately, the events triggered when you open your application via a file association is no different to opening the application by running its executable file.