But I don't want to open it with that!

If you want to specify which program opens a particular file type, you can do it via My Computer/Tools/Folder Options/Change, but there is an easier way.

Select the file by clicking its icon and then hold down the Shift key while you right-click the file. Choose Open With from the menu. Now make a new selection in the Open With dialog box and select the Always Use This Program to Open This Type of File check box and click OK. Windows will do the rest.

This is particularly useful if you have installed a new program and it has altered the file associations so that it becomes the default. For example, you may wish to open all graphics types with XnView for quick viewing. However, when you installed PaintShop Pro, many of those associations were changed to use it as the default viewing program. Just follow the tip in the previous paragraph and you can restore your preferred way of working.