The first part of the paper is concerned to relationship between the sets of associated primes of the generalized $d$-local cohomology modules and the ordinary generalized local cohomology modules. Assume that $R$ is a commutative Noetherian local ring, $M$ and $N$ are finitely generated $R$-modules and $d, t$ are two integers. We prove that $\Ass H^t_d(M,N)=\bigcup_{I\in \Phi} \Ass H^t_I(M,N)$ whenever $H^i_d(M,N)=0$ for all $i< t$ and $\Phi=\{I: I \text{ is an ideal of}\ R \text{ with}\ \dim R/I\leq d \}$. In the second part of the paper, we give some information about the non-vanishing of the generalized $d$-local cohomology modules. To be more precise, we prove that $H^i_d(M,R)\neq 0$ if and only if $i=n-d$ whenever $R$ is a Gorenstein ring of dimension $n$ and $pd_R(M)<\infty$. This result leads to an example which shows that $\Ass H^{n-d}_d(M,R)$ is not necessarily a finite set.