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We have an installerless program which we want to set up for Windows 2003 terminal server users so that they can just double click it's file extension and that program will open that file by default.

Is there any tool or a clear step-by-step guide for doing this?

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This is really a software development question and would be more appropriate for Stack Overflow (there's a question about this there - either your installer or your app should be doing the Right Thing here and associating the extension... – voretaq7 Aug 15 '12 at 18:28
@voretaq7 I'm not sure I agree with you, and have faced this very problem as a server admin often enough that I have the "script" saved to easily whip out the next time it happens. The installer or the app should be doing the right thing, sure. I also should be allowed to say "I'm not supporting shit 3rd party software." Alas, it is not always so in the real world. I'd also point out that it seems to me that he's asking from an SA standpoint, not from a how-do-I-correct-the-code-in-this-app standpoint. Seems perfectly on topic to me. – HopelessN00b Aug 15 '12 at 18:31
@HopelessN00b that's a valid point (though in this case it seems like Henno's company is responsible for creating the lousy software, and so should be fixing it the RIGHT way instead of hacking around it...) -- I'll resurrect this one though. – voretaq7 Aug 15 '12 at 19:33

I'd use a logon script, as it's easiest way I know to do this.

You can get the details here, but the short version is:

  1. Associate extension with a filetype. For .log files to be associated as a txtfile filetype: assoc .log=txtfile
  2. Associate default program with filetype. For '.log' files to be opened with Notepad: ftype txtfile=%SystemRoot%\system32\NOTEPAD.EXE %1

Replace with your filetype and desired default app, drop into a .bat file, add to startup scripts in a GPO, and you're done.

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Did you search the interwebs at all?

First result with Bing

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I'd downvote this if I had any left today, as it doesn't actually answer the question. Creating a new file extension is different from causing it to be associated with a given application for all users. – HopelessN00b Aug 15 '12 at 18:16
Regardless I expected the question to be closed simply because the OP showed little to no initial research effort. Guess I should have made this a comment instead. – Brent Pabst Aug 15 '12 at 19:35

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