article source : http://www.delphi3000.com/articles/article_525.asp?SK=
author : Igor Siticov

For creating file associations you should make some registry changes and inform Windows explorer about your changes.

For launching your program as default for all unregistered file types just associate it for “*” file type.

The following unit includes realization of function for creating file association.
See comments in source for details.

unit [...]