Right-click on the file, choose "Open with", select "Choose program", select PSP in the list and check "Always use the selected program..."
Alternatively, you can open any folder, inthe Tools menu, select "Folder options" then press on the "File types" tab. Locate the file type you want to change in the list (JPG, GIF, whatever), click on it once and press the "Change button". I think you can figure it out from there.