And sometimes that doens't work
I've had issues with XP SP-3 not letting me edit the open with, a few times. Right clicking didn't help. I had to actually uninstall the program in order for XP to "need to find what opens it" again.
Also, you can select some made up extension (PDG), R. click it, & go to the advanced area, & adjust which open s what. Changing PDF to what you'd like to open it with.
There are other ways, but these (mine & the two above mine listed) are the fast ones.