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.
How do I stop iTunes from automatically importing songs I listen to from my external hard drive into the music library?
Do you mean they are being copied into the iTunes media folder?
How (what app) are you listening to them?
If you are listening to them in iTunes, you cannot listen to them in iTunes unless they are in iTunes the iTunes library.
The files can stay wherever thay are.