Magnetic links aren't "files" that can be saved in Windows (so Windows
file-associations are moot).
If you right-click and copy the magnetic link then paste it somewhere
you can read it, you get something of the form:
magnet:?xt=urn:btih:35b74f4e40c594476814d3971c8a9dfea71efba8&dn=Grantchester+S05E02+XviD-AFG&tr=udp%3A%2F%
2Ftracker.leechers-paradise.org%3A6969&tr=udp%3A%2F%
2Ftracker.openbittorrent.com%3A80&tr=udp%3A%2F%
2Fopen.demonii.com%3A1337&tr=udp%3A%2F%
2Ftracker.coppersurfer.tk%3A6969&tr=udp%3A%2F%
2Fexodus.desync.com%3A6969
This is designed to be pasted directly into the appropriate place in
your torrent client.
There is also a way to set up your system so that (left) clicking on the
link will transfer the clink directly to the client (the client has to
be running at the time). Mine is set up like that but I don't recall
offhand how I did that. Presumably from the torrent client. (Food for a
user-manual or Google search anyway.)