I assume you are using XP.Go to Control Panel, select Folder...

I assume you are using XP.
Go to Control Panel, select Folder Options, select 'File Types' tab, select 'New', and it will prompt for a file extension where you enter the extension (usuallly 3 characters) of the type of file you are trying to open. (eg. pdf, txt, bmp, jpg etc.)
You then scroll through the 'Registered file types' to find the one you just added. Click change and then 'Select a program from the list' and then associate a program with that file type.