I've never had this problem (CD version of the game, Win 8), but since no else is responding so far ...
My understanding is that problems with the save file type association are normally caused by digital editions or maybe by Windows 10.If you've neither reinstalled Civ since then nor upgraded your OS, then I guess there must be some other cause.
This might fix the problem (but I haven't tried it and I don't think many others have):
https://forums.civfanatics.com/threads/caveman-2-cosmos.288570/page-671#post-15590467
Please note the next two posts about Steam (if that's what you use).