Ques. How to open a .sdf file on Windows pc? Is any app needed?
Ans. "A spatial data file (SDF) is a single-user geodatabase file format developed by Autodesk. The file format is the native spatial data storage format for Autodesk GIS programs MapGuide and AutoCAD Map 3D. The current format version is SDF3 (based on SQLite3), which is a single file. Prior versions of the format required a spatial index file (SIF), with an optional key index file (KIF) to speed access to the file.
The SDF file format can be created and manipulated using an OSGeo FDO Provider for SDF, which is open source software. Beyond Autodesk's products, products that can read/write the format are FME from Safe Software, Fdo2Fdo, and the FdoToolbox." - Wikipedia
In simple terms, it is just a database file format useful for some high level coding applications, so unless you are a hardcore developer you should not bother about it.