Here's one method: Open any folder window, select Folder Options from the Tools menu, and hit the File Types tab. Set your associations for the various media files there.
Don't attempt to use the Program Access and Defaults options from the All Programs menu; it is not very good at changing associations, which is one of those known problems that has never been sorted.
Another method, but a bit laborious if you need to sort numerous filetypes: R-click a file, select open with, select Browse and highlight the desired program from the list. Check the box below and okay it.