Croozin
You can associate a file type with a program as long as that program knows what to do with that type of file e.g. .jpg can be opened with various programs but .doc files are a little more fussy.
The easiest way to do this usually is to reinstall the application that should open the files. However you can do as you asked there are a couple of ways and I am sure others will jump in with other suggestions but the easiest way is to double click the file if it is completely unassociated and choose the program that you want from the list you will be offered, down towards the bottom of that window there should be an option to always use the particular problem.
The other way to do it is to hold down a Shift key and in the pop up menu you will have a new option to Open With this will give you the list of programs that windows knows about and you can then choose the option to always open with.
There is another way but it is a little more complicated and I find that generally one of the above will work but if you are stuck let me know.