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Almost positive it's because you've got max isntalled on the machine.
Max registered the .stp extension last. (Gotta find it ironic that there's a portion of an animation package that used the stp extension for something when they full well knew it was a common extension for 3D modeling) Anyhow, when you pull the properties on the file it queries the OS as to what the extension is registered too and it returns the max version.
Anyhow, with it being registerd to the OS as a max file, you get a max icon for it and the explanation you describe. If you start Inventor and open the stp file it should open itself just fine.