When CoRD is running it will appear in the Dock (normally at the bottom of your screen). If you click and hold on the Icon you will get a menu appear and there should be a choice to 'Show in Finder' this will show you where the CoRD application is and you can then if you wish throw it away.
However more specifically to setting the default RDP app. I think what is happening is you are double-clicking or otherwise opening a settings file which contains the settings to connect to a specific RDP host. If you click once on the settings file and then select Get Info, in the Get Info window should be an option to specify which program to open the settings file with. You would then change it presumably to Microsoft Remote Desktop instead of CoRD.