Yeah, it's a simple registry tweak:
In section HKEY_CLASSES_ROOT \ *
If there's no "shell" key, add it.
Under "shell", add a key "open"
Edit the string "default" to whatever you want to show up in pop-up menu, like "Open with Notepad"
Under "open", add a key "command"
Edit the string "default" - put the command there, for example "notepad.exe %1"
New OSs (2k, XP, .NET, ..) are trying to be smarter than you, so you have to delete/rename another registry key before it works with every file:
..but damn, I can't remember it anymore..
It's buried in CLSID section, search for "MayChangeDefaultMenu", the CLSID is mentioned in "shellex" key..