how do i set windows media to default to open a file type?

After downloading a file i realized that only windows media can open the file. So i tried opening that file with another application. so now the operating system set that as a default application to open that file type. so after i downloaded windows media and stuffit. i tried all over to set that windows media to open those files by default. so now when i goto certain websites and i get held up because the default application can't open it and i'm have to force it to quit. does anyone know how to fix this problem?