We've been down the file type associations route before. I've had quite a lot of emails and questions as a result of my previous articles, so I think it's ripe for a bit more clarification and a bit of a (second!) revamp. They're a particular bugbear to those of us using XenApp 7.x or RDSH systems, because we're used to doing them the old easy way, and now the rules have unceremoniously changed.
Note - the background to this article has simply been lifted-and-shifted, for the most part, from the previous article referenced above. However, once we're down in the detail sections, there will be a lot more detail than before. Also, I'm going to remove the previous article in a couple of weeks, as I feel this one is more complete.