It's frustrating when Windows decides to search the internet when all we really want to do is just run a program. If you're running a newer version of Windows then it's not possible to disable this from the GUI, you have to do a Registry or Group Policy change.
Below is a registry file you can download and install to disable this. You will need to log out and log back in for the setting to take action.
Alternatively for other methods see https://www.ghacks.net/2021/11/26/how-to-turn-off-search-the-web-results-in-windows-11/