Double-clicking (and dragging) are considered to be expert short-cuts to commands the user can access through some other more discoverable means, generally via a menu or command buttons. They are typically not documented anywhere in the UI. The best you get with double-clicking is that the corresponding command in the context menu (itself an expert shortcut) has bold font.
Is the problem
(a) that users aren’t discovering double-clicking? Or
(b) that users aren’t discovering the Open command at all?
If (b), first work on the making the menu/button method of opening more discoverable. Consider the menu/button to be the “main” way of doing the command that is both easiest to find and relatively easy to do. This will make it no longer so important for users to discover double-clicking. It will also ensure your app is reasonably accessible.
If the problem is (a), try to present each item like it’s an object to be manipulated –something that is selectable and then can receive various actions via menu items as well as dragging and double-clicking. The biggest clue is that single-clicking the item gives it a selected appearance (shaded or reverse-video) and does no command. This is a big hint that the user needs to do something else to induce a command. Many users, upon getting no command when clicking something, often immediately resort to double-click because to them, double-clicking means “click harder.” If single-clicking puts the UI into prominent “drag mode,” then users may conclude that’s all clicking can do. Or they’ll think double-clicking will do some kind of default drag, rather than opening.
Supporting right-clicking, of course, is also a clue. Being in a list or array generally helps. Standing out against a background (e.g., a with border or contrasting color) can also help. An icon might help. An item shouldn’t look like a link (e.g., colored or underlined text; they open with a single click) or a button (e.g., raise rectangular appearance with centered text; double-clicking them performs a command twice). In generally, the more the items look like selectable objects from traditional GUI interfaces, the more likely users will see them as double-clickable. Avoid looking like a web site, where double-clicking is very rare.
Be consistent throughout your interface. Provide dragging and double-clicking short-cuts to all items in all your windows. If it doesn’t work in one window or page, users are likely to assume it never works in your app, and vice-versa if it does work on one window/page.
Dynamic or temporary text hints might also help. For example, after users open an item 5 times with the menu, you could try displaying “Opens with double-click” above the items for a while. That’s experimental, so test it thoroughly.