When you right click on a file with a known extension (in Explorer) you get a choice to open the file. If the extension is unkown, you get an open with choice.
You can define a default open choice for those unknown extensions and still have the open with by amending the registry as follows:
2. Double click on Shell
3. Add Key open
4. With open selected, add Key command
5. With command selected, add a Value with no name (leave it blank) and type REG_EXPAND_SZ
6. Enter the full path to the executable followed by a space and "%1"
Example: Drive:\Directory\Program.exe "%1"
See Tip 126.