WAssociate is a software that is able to change file type associations of all file types in Windows. The software requires a little bit of knowledge of how file types are assigned in Windows but is well worth that time. It displays all known file types and their associations by pulling the data from the Windows registry.

Once you have selected a specific file type you can make all sorts of modifications for it, from selecting the program that you want to associate with the file extension to adding parameters to the start up.

Read More:

How to fix broken file associations
WAssociate (thanks Roman for letting me know about this software)

Update: WAssociate is still available, but it is not compatible with Windows Vista or Windows 7. Windows XP users can still use the program to fix their file associations, wile users who are operating a newer version of Windows need to run a alternative instead.

Here are two programs that work under Vista and newer versions of Windows:

Types: A lightweight portable open source application that lets you easily change file associations. Just browse the selection of classes and pick the one you are interested in. You can then modify icons and actions directly in the program window.

File Association Fixer: This one fixes file types that are no longer associated with the correct application. It does not offer to do that for all file extensions though, only for core system files.