Get to grips with the "Open With" menu
Firstly, if the application is in the Dock, you can simply drag the file onto its icon in the Dock. Alternatively you can open up the application first, and choose "Open" form the File Menu. A third method is to use the "Open With" menu. You will find this by right-clicking (Control-clicking) on the file and looking near the top of the contextual menu. Within the Open With submenu you will find every application that can open the file, as well as an "Other" option.
When you use the Open With menu, it is a "this time only" thing. Next time you double-click on the file, it will open with the default application again. To change the default application, bring up the menu as before, but hold down the Option key before choosing the application. The menu should change to "Always Open With".
When you use the Always Open With menu, it is a "this file only" thing. To apply a new default application to all files of that format, you can use the Get Info window located in the File Menu. In the Open With section, set the new application and click the "Change All" button.
To reset all of your files to open with the original default application, you need to delete a certain file. Go to your user folder, and navigate into the Library folder then into the Preferences folder. Find the com.apple.LaunchServices.plist file, and drag it to the Trash. Alternatively, drag it to the Desktop if you think you might change your mind and want to put it back later.
Over time, you may find that the Open With menu gets cluttered with duplicates, older versions or applications you thought you deleted long ago. To get rid of these, you need to use Terminal. Open up Terminal (from Applications/Utilities) and paste the following line:
/System/Library/Frameworks/ApplicationServices.framework/Frameworks/LaunchServices.framework/Support/lsregister -kill -r -domain local -domain system -domain user
Press return and your Open With menu should have been cleaned up to only include the most current applications.