Set Associations: How?

I am trying to use a Windows Sidebar gadget that I downloaded and installed. But when I try to use it, I get this message: "This file does not have a program associated with it for performing this action. Create an association in the Set Associations control panel " But when I open the Control Panel, I don't see Set Associations. Can someone help me with this? I did see something in Control Panel about fille associations, but I don't know how to use that. Thanks.

 

Open the Control Panel, then type 'associations' in the Search Control Panel bar - you should then see links for changing file type associations in Folder Options and Default Programs...