When double click a QFX file, nothing happens.
Quicken reads a QFX file and if it finds the account number on a QFX file is already "online linked" to previously chosen account in Quicken, Quicken imports data into that account automatically.
If you are importing for different accounts in Quicken, use different account ID when you convert to a QFX file. Quicken will link different account numbers to different accounts in Quicken.