Do you want to open a particular file with another program in OS X?  If you want to open it just once, you can right/control-click and select “Open With.”  (Since I have VMware Fusion installed, I can open files in Windows directly from the Finder!)

To open a single file with a particular program every time, right/control-click, and Get Info.  Then you can select to program to use under “Open with.”

This change only applies to current document.  To change the default program for all documents, click “Change All…” and confirm.