Hello dwsiddall, :)

Since the file you pinned to the taskbar doesn't have a file type or association assigned to it, this would be why you're having to select what to open it with.

You could create a Hosts file shortcut using the method in the tutorial below, and pin this shortcut to the taskbar instead. It will open the hosts file in notepad when used.

HOSTS File - Create a Shortcut - Windows 7 Help Forums