Encontrei isso na ajuda do Windows:
To associate a file name extension with a file type:
- Open Folder Options in Control Panel.
- Click Start, and then click Control Panel.
- Double-click Folder Options.
- On the File Types tab, click New.
- Type a new or existing file name extension, and then click Advanced.
- In Associated File Type, select a different file type to associate with the extension.
Se você clicar em Novo e digitar rrx, poderá associá-lo ao documento XML, para poder usar os programas padrão do documento XML.