In XP, just go into "Folder Options" (Under the Control Panel, or the Tools Menu in any folder), and File Types.
From there you can add / cull various filetypes and extensions. You can goof yourself up fairly easily, but it's not terribly complex - It's one of the first places I go to pee in the corner and clear out cruft in favor of stuff *I* want to use on a new system.
Example:Set MPlayer to play .flv files downloaded from youtube.
Tap (New) set extension as FLV, select (Advance), and select new Filetype from the dropdown list. (OK)
Now select your newly created FLV listing in Folder Options/Filetypes; click (advanced);
Type Play in the 'Action' field (Descriptive only - Open, load, or Pron would work just as well)
Browse to Mplayer (Ex: "C:\Documents and Settings\jwest\My Applications\MPlayer-1.0rc2\mplayer.exe") and append (space) "%L" (Quotes typically required for both path and switches) at the end. %L this is a variable for windows to pass along the file path - if you still have something only 8.3 aware, use "%1". forces windows to pass along the file path to your application. DDE I don't really know that much about except it's part of the Windows internal messaging system, and nothing I used has ever cared. You can also add any other switches for your program as further quotes - i.e. to run in fullscreen in mplayer; append "%L" "-fs" (OK)
If you've added more than one option, set one as your default (Double click) option, (Ok), (OK) again to exit Folder Options, and if I haven't skipped something stupid, you should be able to doubleclick a .flv file and have mplayer play it.
If you're adding a filetype to a previously existing association, just select that from the drop down list originally - i.e., you hate Quicktime and want Mplayer to play .mov files, instead of selecting <new>, select the file type you just set up and the .mov files will inherit the same options (IIRC).
Jonnan