Добавте в форму:

Private Declare Function RegCreateKey Lib "advapi32.dll" _
Alias "RegCreateKeyA" (ByVal hKey As Long, ByVal lpSubKey _
As String, phkResult As Long) As Long
Private Declare Function RegSetValueEx Lib "advapi32.dll" _
Alias "RegSetValueExA" (ByVal hKey As Long, ByVal lpValueName As String, _
ByVal Reserved As Long, ByVal dwType As Long, lpData As Any, _
ByVal cbData As Long) As Long
Private Declare Function RegCloseKey Lib "advapi32.dll" _
(ByVal hKey As Long) As Long
Private Const HKEY_CLASSES_ROOT = &H80000000

Private Sub AssociateMyApp(ByVal sAppName As String, _
ByVal sEXE As String, ByVal sExt As String, Optional ByVal sIcon As String)
Dim lRegKey As Long
Call RegCreateKey(HKEY_CLASSES_ROOT, sExt, lRegKey)
Call RegSetValueEx(lRegKey, "", 0&, 1, ByVal sAppName, Len(sAppName))
Call RegCloseKey(lRegKey)
Call RegCreateKey(HKEY_CLASSES_ROOT, sAppName & "\Shell\Open\Command", lRegKey)
Call RegSetValueEx(lRegKey, "", 0&, 1, ByVal sEXE, Len(sEXE))
Call RegCloseKey(lRegKey)
If Len(sIcon) Then
Call RegCreateKey(HKEY_CLASSES_ROOT, sAppName & "\DefaultIcon", lRegKey)
Call RegSetValueEx(lRegKey, "", 0&, 1, ByVal sIcon, Len(sIcon))
Call RegCloseKey(lRegKey)
End If
End Sub

Private Sub Command1_Click()
AssociateMyApp "My New File App", "C:\File.exe %1", ".txt", "C:\File.exe,-1"
End Sub