Does Sparrow give the emails a file extension? In Mail.app they are .emlx.
If yes then try the following:
1. Download and install the Default Apps prefpane
http://www.rubicode.com/Software/RCDefaultApp/
2. Open System Preferences
3. Go to Other >> Default Apps
4. Click on extensions. Find the extension Sparrow uses for emails. If it doesn't exist create it. Once you have done this select the default app in the drop down box. Click "Override file creator".
I've not tried this for emails but it's worth a shot.