On Windows and OS X only the OS registered application is used.

On other OS you need to add/change the values in your phexCorePrefs.properties (found here):

SystemTools.OpenVideoCmdOtherOS = xterm -e mplayer %filepath%
SystemTools.OpenImageCmdOtherOS = ee %filepath%
SystemTools.OpenAudioCmdOtherOS = xterm -e mplayer %filepath%
SystemTools.OpenBrowserCmdOtherOS = mozilla -remote openURL(%filepath%,new-window)

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