You can do all these things.
For example. If you want to play all .divx files in DivX player at high priority:
In Windows Explorer take Tools->Folder Options->File Types.
Select the DIVX extension, click advanced.
Select the "play" action, edit.
You see a command line similar to 'G:\Program Files\BSPlayer\bplay.exe "%L"'. In your case it will probably be pointing to DivX Player. Change the command line to 'start /high "G:\Program Files\BSPlayer\bplay.exe" "%L"' (or whatever it should be in your case).
If you want a shortcut to run something in high priority, just right click the shortcut, properties. Add "start /high " before whatever you have as "Target". Click OK and you're set.
Another nifty trick is to add "Run at high priority" command to Explorer context menu:
Open regedit, go to "HKCR\exefile\Shell\". Create a new subkey called "runhigh" (or whatever). Set the default value to "Run at high priority".
Under your new key create another called "command". Set the default value to 'G:\WINDOWS\System32\cmd.exe /c start "runhigh" /high "%1"' (note the name of the key you created before, the path to cmd.exe is probably different on your system). (This can also be done with tweaking utilities like X-Setup)