Does not have a program associated with it

Of all the random alerts that Windows shows, this is one of the most annoying:

This file does not have a program associated with it for performing this action. Please install a program or, if one is already installed, create an association in the Default Programs control panel.

This file

Which file?

does not have a program associated with it

for performing this action.

Which action?

Please install a program

Great advice! I will install a program. Which program? For doing what?

or, if one is already installed,

Many programs are already installed... do I need to uninstall all my programs but one??

create an association in the Default Programs control panel.

Create an association between what and who!?