This article is from the GNU Chess and XBoard FAQ, by Tim Mann email@example.com with numerous contributions by others.
On Windows 95 and Windows NT 4.0, WinBoard does this automatically when
you install it. For the File Manager on Windows NT 3.51, etc., select
Associate from the File menu, enter "pgn" as the extension, and use the
Browse button to find your copy of WinBoard and set up the association.