That isn't really much information to determine your problem, but lets see.
1. According to
http://www.fileinfo.net/extension/efu the .efu extension belongs to XenoSystems Encryptafile. If you have installed this recently then you might want to uninstall it and see whether this solves your problem.
2. Make sure your system is free from any malware. Use antivirus and antispyware programs for a deep check.
3. Use different programs for downloading such as Firefox, MSIE or a download manager. Download different files from different forums.
4. If the problem still persists, then check what the downloaded .efu file really is.
Open a Notepad (Editor) window and drag'n drop the file in question on it.
If the file contains a hexadecimal string (eg: A6FFE944CE01 ...) then it is in fact an .efu file used by the program mentioned in 1.
But if the very first characters are either "Rar!" or "PK" (without quotes) then it is in fact a rar or zip file. You can still open it with winrar by using the File > Open Archive menue (don't forget to choose "All files" in the file type drop down). If you want to associate winrar with .efu files, do a right click on the file, choose "Open with", select winrar in the list, tick the box and click ok. .efu files will then always be opened with winrar if you double click on them.
In both cases uninstall all programs you do not need. Check the running processes in the taskmanager for anything suspicious (search Google for the process names) and uninstall the program or stop the service in the service manager. Once done run a registry cleaner (or several).
5. if this does not help reinstall windows
6. If reinstalling windows doesn't help: Sorry mate, no porn for you!