After playing around a lil I think I've figured it out.. [for me at least..]
The program that you're pointing to isn't registered correctly.
In regedit: Navigate to Computer\HKEY_CLASSES_ROOT\Applicationsand find your .exe name.
Navigate under its name to shell>open>command. In the Default change its location to the actual location of the executable, hit okay and then try and reassociate the file type as you normally would.
Let me know if that doesn't seem to work.