Good thing you mentioned what OS you are using.
How to fix 'Choose Program to open with' problem:
That is usually one of the problems caused by malware infection. Start by fixing your ZIP file association. Note that you need to be an administrator to apply these fixes. Download this:
http://www.winhelponline.com/fileasso/zip_fix_w7.reg
Right-click the REG file and choose Merge. If it asks you what program to open the REG file with, point to REGEDIT that is in the C:\Windows folder.
Next, fix your EXE file association. Download this:
http://www.winhelponline.com/fileasso/exe_fix_w7.zip
Extract the .REG file to your Desktop. Right-click the REG file and choose Merge.
Alternatively, you can open the Registry Editor by pressing the WinLogo+R key and type "REGEDIT" (w/o the quotes) then click on File > Import. Merge the REG file's contents.
NOTE: If your EXE file association is corrupted, it can be difficult to open REGEDIT, or to even import REG files. To work around this, press CTRL-ALT-DEL and open Task Manager. Once there, click File, then hold down the CTRL key and click New Task (Run). This will open a Command Prompt window. Enter REGEDIT.EXE and press Enter.
For other file types that won't open:
http://www.winhelponline.com/blog/file-asso-fixes-for-windows-7
If you have a program shortcut that won't open, fix the LNK file association.