Here's how to change the default application for opening a given extension in OS X. We'll use PDFs as an example. The default in OS X is to use Preview. In the following, I'll show you how to open all PDFs with Skim.
First, locate and click on a PDF file. After you have the file highlighted, hit ⌘-i to open the file information window.
Locate the Open with: section. In the drop down window, scroll down to Skim. If you don't see it in the list, click Other ... and navigate to the program.
After selecting Skim, click the Change All ... button. You'll be presented with window asking if you're sure you want to use Skim for all PDF files.
Click Continue and you're done!