The following example will set a .PDF file to be opened by Adobe Reader.  To associate other file types to open with a program by deafult simply select a different file type and the desired program.

Go to Start>My Computer>Tools>Folder Options>File Types

Scroll down to PDF, then select "Change..."

Select "Adobe Reader" from the list..

Check the "Always use the selected program to open this kind of file.

Click OK>Close.