Most commonly used file types such as text, bitmap, icon, document, etc., are associated with certain programs by default. This means, if you double click on a text file it will be opened in Notepad (for example) or if you click on a bitmap file it'll be opened in Paint Brush (by default).
But, what if you want to use a program other than the currently associated one to open a particular file?
Hold SHIFT key and right click on the file
Select "Open With..."
Select the program you want to use to open the current file
Click on "OK"