I have had to deal with this not too long ago, as I started this past semester in graphic design courses on Mac Pros at school.
If you right click a file (or control click it) and view options, you can choose which program to open a file with. I did that because for some reason, all the computers in class open .PSD files in Preivew... YUCK!
So I changed my current project file I was working on, and then a while later I went to open a different .PSD file I had for another project. It opened in Preview... wtf? I was irritated because I'd already told the computer to make .PSD files associated with Photoshop instead of preview.
As it turns out, OS X does not handle file associations like Windows does (go figure

).
Where in Windows, you set a particular file extention to associate and open with a given program... in OS X you are only setting
that file to open with the given program. You need to make sure that when you are changing this option, wait for it to apply, and then a button just below it should become active. Upon pressing this button, you are telling OS X to associate ALL files of this type with the given program, and not just the one you are currently opening.
Simple? Yes, when you think about it. Confusing and different? Yes, to a Windows user for the first time or two.
Hope I helped. As irritated as it made me, it only extends my excitement to get my MBP this Christmas. Knowing that I won't even have to deal with Preview at all since I'll have Leopard and Quick Look.
Does Leopard even have Preview anymore? If so, what is the point?
