PSpad would be my first choice on Windows, because it's what I open everything with. Something like a WAV file for example, you can clearly see the RIFF header and any extra info that might be there.
I'm guessing you've already done something similar though; namely looking for embedded ascii in the file? And there's nothing obvious?
If it's a pure data file in a custom format, then your best bet is to reverse engineer the application. It might not be so hard; try opening the executable in a text editor and you'll probably find a good few clues.
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