goudie - Not sure whether you still require an answer to this question, but in case anyone does a search for the same problem.
To 'set associations' - in other words, associate a file type (eg. .doc, .xls etc) open up 'My Computer'. On the menu, click Tools --> Folder Options. Now select the File Types tab. This lists all the registered file types on your machine.
To set a new association, click the 'New' button, enter the file extension and click OK. Now click the 'Change' button and select the application you want to open the document with. That should be all you need to do.
Note: most (all?) software installers will handle this for you, so if you find yourself needing to do it manually, chances are the software which is meant to open the document isn't installed properly!