By default, Windows still opens folders in the built-in File Explorer. To make Files open every time you click a folder, go into Files Settings (gear icon, bottom-left), find 'Default file manager', and toggle it on. You can always reverse this in the same settings screen.
$ REM Inside the Files app: click the gear icon (bottom-left) > scroll to 'Default file manager' > toggle ON.
What you should see
A prompt may ask for confirmation. After accepting, double-clicking any folder on your desktop or taskbar now opens it in Files instead of Windows Explorer.
This might happen
After setting Files as default, some Windows system dialogs still open old File Explorer.
This is a known Windows limitation — system dialogs are controlled by Windows itself and cannot be overridden by third-party apps. Files will still open for all normal folder navigation.