A quick search indicates this is called the Balogh Defense (or a line of the Dutch Defense Staunton Gambit). If this is a game in progress, you're not supposed to ask advice, but you can use the different resources available to help navigate the opening.
What opening is this?

Thanks! The game is in progress but we're well beyond the opening. I responded with Nf3 but I don't think that was the best move.

exf5, I'm sure you shouldn't even consider letting Black get away with that. Maybe something like this?

Thanks rooperi. The only issue I see with that could be black's 2. g6 but perhaps it will cost him later.

Janos Balough was a Hungarian/Romanian Master of the 20th century (1892-1980). He was good enough to play in a few Olympiads and was once the Romanian Champion as well as an IM of correspondence Chess, but is best known for the oddball opening named after him. It's one of those openings that there is not much book on it simply because it's a dubious idea, although maybe good for surprise value.

Thanks for the background Frank.
DeathScepter, that is an interesting response. I actually just set this up on Chessmaster to see what the computers would do. Chessmaster actually did Nd2. Naum played Nf3.

Don't trust computer recommendations in the early opening (unless of course it's part of their book).
Why?
I was already suspect of Nf3.. Once Naum made that move it actually froze and lost on time.

To me it looks like a kind of Staunton Gambit against the dutch defense.
see:
http://en.wikipedia.org/wiki/Staunton_Gambit
Can someone please tell me what opening this is and what should my next move be? Thanks!