I have just found Sublime and I am trying to establish good, quick work habits with it.
One of the first things I tried was to do as you described; ie. open projects using the default Windows shell commands.
On a 64bit Win7 machine when I either create a link(shortcut) pointing to a project and double click, or right-click and select 'Open'on the actual sublime-project file, the following happens.
The selected project opens and functions as normal but another project also opens along with it.
If I right-click and select 'Open with' the project and an empty editor window open.
I have found that with the shortcuts if you place the program path in quotes then a space and the the project path in quotes it loads it properly as the executable and document as a variable.
Thus: "path to Sublime on your system" "path to your project file"
No. My mistake. Doesn't fix it.
Finally. The fix is to have these settings:
Amazing really. The fix seems self evident now, but finding it was not as straight forward as it could be.
Still, I am hooked, this one great bit of kit.