You may have file types or file extensions that you wish to open with a specific application on your PC. Attempting to open a file with an unfamiliar extension will prompt Windows 10 to ask you how to open the file, but it isn't always obvious that you can manually select any of your applications to automatically open this file type in future.
There are several ways to begin this process. If the file type is totally unfamiliar (i.e. first time opening), just try double clicking the file to start associating an application. If you are changing an already associated file extension, right click the file and select Open With > Choose another app from the context menu.
You'll be presented with a window like this, which suggests that you search for an app in the Windows Store. If you've already got an app you'd like to use, click More Apps:
Now you'll be presented with a handful of "guesses" at the application you may wish to use. If the application is on the list, just click it and it'll become associated! Otherwise, scroll to the very bottom of the list and click Look for another app on this PC:
A file browser window will appear, where you can manually select an application on your PC to associate with the file type. A good place to look for your installed applications is "C:\Program Files" and "C:\Program Files (x86)". Once you've found your application, select it and click OK - you're all done!
Another method of achieving the same solution is to go to Settings > Apps > Default Apps > Choose default applications by file type.