Create a file association for your application (Works in Windows 95/98/NT/2000/ME)

Public Sub CreateAssociation(sExtension as String, sApplication as String, sAppPath as String)
  Dim sPath As String
  CreateNewKey "." & sExtension, HKEY_CLASSES_ROOT
  SetKeyValue "." & sExtension, "", sApplication & ".Document", REG_SZ
  CreateNewKey sApplication & ".Document\shell\open\command", HKEY_CLASSES_ROOT
  SetKeyValue sApplication & ".Document", "", sApplication & " Document", REG_SZ
  sPath = sAppPath & " %1"
  SetKeyValue sApplication & ".Document\shell\open\command", "", sPath, REG_SZ
  CreateNewKey "Software\Microsoft\Windows\CurrentVersion\Explorer\FileExts\." _
    & sExtension, HKEY_CURRENT_USER
  SetKeyValue2 "Software\Microsoft\Windows\CurrentVersion\Explorer\FileExts\." _
    & sExtension, "Application", sAppExe, REG_SZ
  CreateNewKey "Applications\" & sAppExe & "\shell\open\command", HKEY_CLASSES_ROOT
  SetKeyValue "Applications\" & sAppExe & "\shell\open\command", "", sPath, REG_SZ
End Sub

Public Function SetValueEx(ByVal hKey As Long, _
             sValueName As String, _
             lType As Long, _
             vValue As Variant) As Long
  Dim nValue As Long
  Dim sValue As String
  Select Case lType
  Case REG_SZ
   sValue = vValue & Chr$(0)
   SetValueEx = RegSetValueExString(hKey, _
                   sValueName, _
                   0&, _
                   lType, _
                   sValue, _
                   Len(sValue))
  Case REG_DWORD
   nValue = vValue
   SetValueEx = RegSetValueExLong(hKey, _
                  sValueName, _
                  0&, _
                  lType, _
                  nValue, _
                  4)
  End Select
End Function

Public Sub CreateNewKey(sNewKeyName As String, _
            lPredefinedKey As Long)
  Dim hKey As Long
  Dim result As Long
  Call RegCreateKeyEx(lPredefinedKey, _
           sNewKeyName, 0&, _
           vbNullString, _
           REG_OPTION_NON_VOLATILE, _
           KEY_ALL_ACCESS, 0&, hKey, result)
  Call RegCloseKey(hKey)
End Sub

Public Sub SetKeyValue(sKeyName As String, _
           sValueName As String, _
           vValueSetting As Variant, _
           lValueType As Long)
  Dim hKey As Long
  Call RegOpenKeyEx(HKEY_CLASSES_ROOT, _
           sKeyName, 0, _
           KEY_ALL_ACCESS, hKey)
  Call SetValueEx(hKey, _
         sValueName, _
         lValueType, _
         vValueSetting)
  Call RegCloseKey(hKey)
End Sub
Public Sub SetKeyValue(sKeyName As String, _
           sValueName As String, _
           vValueSetting As Variant, _
           lValueType As Long)
  Dim hKey As Long
  Call RegOpenKeyEx(HKEY_CURRENT_USER, _
           sKeyName, 0, _
           KEY_ALL_ACCESS, hKey)
  Call SetValueEx(hKey, _
         sValueName, _
         lValueType, _
         vValueSetting)
  Call RegCloseKey(hKey)
End Sub