1. Open Windows Explorer and browse to any file of the type you want to change.
2. Right-click on the file, go to "Open With", then "Choose Program..." (you might have to hold down the Ctrl key in Win2k for the "Open With" option to show up, I can't remember).
3. Pick the program you want to open the file and check off "Always use the selected program to open this kind of file."
When applications install themselves in Windows, they can "steal" file associations from other applications. Good applications ask you first, bad ones just do it.
If you're using an older version of Windows, you need to use the "File Types" menu you described.