File type association in Windows XP is very easy and Pretty Straight forward. But in Windows vista To Associate it requires steps. In Vista there is a "DEFAULT PROGRAMS" Which controls which application to be opened by which program. There is a new API for that in Windows Vista. You may Have to perform Registry Entries to Perform Those.
There are a couple of things you should do, before you can fully associate or control the association of KMPlayer in Vista.
FIRST
In Vista, Right Click on KMPlayer Icon and Run as Administrator
Right Click on KMP and Go to Preferences and In preferences go to Association
Click on Defaults to load the Icons. Then Select on the files you wish to associate or Select All Files. 
The Screenshot After Association...
Reason to Run as Administrator on Vista : KMPlayer has to store the file Association Details in Windows Registry (HKEY_CLASSES_ROOT) which has access only when accessed as administrator.
In case if your icons are not refreshed you may have to clear your icon Cache by going to your system Drive --> Disk Cleanup --> Thumbnails.
After this most of the files that are not earlier associated becomes associated to KMPlayer. However some files .mp3, .wmv, .avi files refuse to get associated. To change that, make to always open with KMPlayer, the Icon will Change Automatically.
This should almost solve the association problem. But You do not have control in Windows Way which means, you cannot control association using DEFAULT PROGRAMS.
Refer This Forum Link : http://www.kmplayer.com/forums/showthread.php?t=8435
SECOND
The next thing you should do is to bring the KMPlayer in Default Programs List.
For that Run RegEdit and then go to the HKEY_LOCAL_MACHINE --> SOFTWARE --> REGISTERED APPLICATION
You Should add a Key Called KMPlayer and Type the String as shown in the Following Image.
(Click to Enlarge)
and Also Need add a Folder Called KMPlayer then Add Sub Key Called Capabilities --> and then Add Sub Key FileAssociations then add All List of Files.
(Click to Enlarge)
To Simplify there is a registry Key that has created. Just Download this and Run, It will ask to ask whether you want to merge, Click YES. then it will automatically appear in Default Programs List.
Download the Registry Key Here. 
To Merge Double Click on it..
Click On Run
Click YES.
Now go to Default Programs .
Click on Set your Default Programs
Select KMPlayer
Now you can Choose the Associations.
REFER: http://www.kmplayer.com/forums/showthread.php?t=6606
After this you can play all with KMPlayer.
Enjoy
Barath