If you're using Windows Picture and Fax Viewer, you must have XP. Open My Documents or My Pictures. Click on Tools up in the Main Menu and click on Folder Options. Click on the File Types tab at the top of the dialog that opens. Give it a minute to list all the file types.
Scroll down through the list and click on the file extensions you want to open with WPAFV. A dialog will pop up for each one that tells you what program opens this type of file and there will be a "Change" button. Click it and select the program you want to open files with that extension. All files of that type will always be opened with the program you select.
This is the one thing that I can't do with Vista and that I miss the most. Well, this and the fact that Vista's Photo Gallery won't open gifs like Picture and Fax Viewer always did.