This article explains what an EFI file is used for and how to open it if needed.

A file with the EFI file extension is an Extensible Firmware Interface file. They are bootloader executables, exist on UEFI (Unified Extensible Firmware Interface) based computer systems and contain data about how the boot process should proceed.

EFI files can be opened with EFI Developer Kit, but honestly there's little point in 'opening' them unless you're a hardware developer.

On a system with an installed operating system, the boot manager that exists as part of the motherboard's UEFI firmware will have an EFI file location stored in the BootOrder variable. This may actually be a different boot manager if you have a multi-boot tool installed, but is usually just the EFI bootloader for your operating system.