You can change these associations yourself, and you can associate multiple programs with a single extension. In fact, there's a good chance Windows has already done that for you.
You can also change that extension's default program (the one that launches when you double-click a file). In Windows XP, Vista, and 7, right-click the file and select Open with>Choose default program. In the resulting dialog box, select a program, check Always use the selected program to open this kind of file, then OK.
But what if your desired program isn't listed? From that same dialog box, click the Browse button, then find and select the .exe file for the desired program. Consider whether you want Always use the selected program to open this kind file checked or unchecked before clicking OK.
The process is similar but different in Windows 8. The dialog box that comes up when you select Open with>Choose default program lists the current default first, with the words "Keep using" before the name. Make sure that Use this app for all .ext files is checked before you click the desired program.
If your desired program isn't listed, click More options for additional programs that Windows thinks you might want. If you still don't see the right program, click Look for another app on the PC, at the very bottom.