You didn't say which version of Windows you are using.
This is how to do it with Win 98.
To change the association for any type of file, open Windows Explorer and highlight one of the files of that type. Then hold down the Shift key and right-click the file. The menu that pops up will have an Open With option, which allows you to change the program that file is associated with.
TICK THE BOX to make the change for all files of that type.