If you don't have or don't want to have the Advanced mode (Full Desktop) enabled, you could try this and this.
switch to "Full desktop";launch the file manager;right click the file to associate, select "Open with" and then "Other";select the application, mark the "Remember application .." checkbox and then "OK";switch back to "Easy mode".
Update
After a fresh reinstallation of Xandros from the recovery DVD, the "switching" trick does not work anymore..