This has been bugging me for while – I could not associate .pde files with arduino executable , I would select Open With… choose the executable but it won't work , so I decided to write a .reg script to correct the problem. After some research turns out other people had the same problem it happens with Windows 7 and might have something to do with having Processing installed, in any case if you have this problem here is the fix.
Create a file called arduino.reg with the following contents:
Windows Registry Editor Version 5.00
Please note this assumes your arduino installation was unzipped to C:\arduino\ . If different , update accordingly the reg file but make sure to use double quotes \\ for path delimiter as highlighted above.
Next simply double click on the arduino.reg file you have created and the keys will be imported to your registry. Now when you right click on the .pde file you should see arduino as one of the options (and you can make it default program to open pde files).