No you don't have to do each file. You should only have to do it once per file type. If you change one mp3 file then all your mp3 files will be changed. Same for mpg files and avi files. you may have to do it three or four times, but that should be it.

You could try going from your desktop to Start > Set Program Access and Defaults, and change the settings there.

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If it ain't broke, fix it till it is!