Open some folder, like My Computer or My Documents, click on View, and then (i think) folder options. This will bring up a multi-tabbed dialog box. One of the tabs is file types. Just go down to jpeg and whatever else and change the Open action to point to the program of your choice.
It's a hell of a lot more complicated to do this in Windows than it is in OSX or Gnome, just so you know.
Edit:
in Windows XP, you click Tools to get to Folder Options, not View.