You can choose which program for that time you are clicking on the file by right clicking the file and choosing Open With. You then can choose which program to use to open the file. You do have the option here to make the change permanent in Windows XP, Vista and 7.
If you want to change which program always opens the file when the file type is chosen (for instance all pictures files that are jpg files), there are a couple steps.
These steps will work in Windows Vista or in Windows 7. Open the Control Panel. Choose Default Programs. Choose Associate a File Type or Protocol With a Program. Then go down the list and find the extension you want to change the program associated with it. Click to choose the extension (for instance .jpg) and then click the Change Program button. Choose the program (all of the normal choices to use are listed, you can choose other by using browse and finding the program executable file on your disk) and click OK. Click Close.
You can change these settings at anytime. Often you want to do this after installing a program and it sets itself as the default program for some file types you prefer to use another program.
This helps make it easier when you click on files you have received to open them instead of opening the program and then opening the file (and remembering where it is stored on the disk)