Mac OS X: Double-Clicking a File Opens the Wrong Application - http://support.apple.com/kb/TS2291
-= Changing the application used to open all files of a certain kind (written with reference to OSX 10.4 but may not have changed) =-
1) In a Finder window highlight a file of the kind you want to change the application to open that kind of file.
2) While that file is highlighted, select File > Get Info or press command (apple or propeller icon) + i to get a file information window.
3) In the lower part of the info window there is an "open with" menu with a list of applications.
4) If your application is already in the box then it is the default application for opening that kind of file and you don't need to do anything more. Close the get info window.
5) If the application showing in the menu is not the one with which you wish to open the file then select a new application. If your application does not appear there then select the "other..." and track down the application (usually in the Applications folder at the main level of the computer).
6) If you wish to change all files of this type to open with this application in future, make sure the "change all" button is selected.
7) Close the get info window.
If things are opening immediately upon downloading using a browser you may also need to change your browser's application support settings. This is way beyond me to help you with since it really depends upon the browser and I run a 13 year old computer. I know I basically went into my browser settings and told it I didn't want it opening any audio files, so now I go to my download location and play them using my desired player.