Which operating system are you using?
How are you trying to run Arduino? What happens (when it fails to open successfully)?
As strange as it sounds, opening a sketch directly from your desktop isn't usually a common operation, as sketches that are saved in the default location automatically appear in the Sketchbook menu in the IDE. It's something that we should fix though.
The "Alpha" moniker has applied to every version of the software so far; 0010 shouldn't be any more unstable than older versions (in fact, it should be more stable).