I suppose you are talking about the .aux files which belongs to a raster file.

The .aux file stores additional information. The image is stored in a raster file (e.g. .tif). You have to open the raster file in QGIS, not the .aux file.

As described in the [ArcGIS help][1] an auxiliary file can store the following:

 - Color map
 - Statistics, histogram, or table
 - Pointer to the pyramid file
 - Coordinate system Transformation
 - Projection information


  [1]: http://help.arcgis.com/en/arcgisdesktop/10.0/help/index.html#/Auxiliary_files/009t00000027000000/