You'll have to associate them with an app. The same goes for files that you want to move to your iPhone. Unfortunately, you can only transfer files that are associated with an app to your PC.
This will open the file browser - select the file, and it'll appear on your iPhone. It'll ask for a location to save it on your PC - select the location, and you're done. If you prefer not to download it from the Microsoft Store, you also can download it from Apple's website. Since you will use the iTunes app to transfer files, you need to install it from the Microsoft Store if it's not already present on your PC. While not everyone is a fan of using iTunes to transfer files between an iPhone and a PC, this is one of the more 'official' methods Apple wants you to use.
