It depends what kind of file you're trying to open - images, audio, compressed?
*From Vista help files*
Open the folder that contains the file you want to change.
Right-click the file that you want to change, and then, depending on the type of file, either click Open With or point to Open With and then click Choose Default Program.
Click the program that you want to use to open this file.
Do one of the following:
If you want all files of that type to open in the same software program, select the Always use the selected program to open this kind of file check box, and then click OK.
If you want only that file to open in the software program this one time, clear the Always use the selected program to open this kind of file check box, and then click OK.