Well if you double click on it a list with programs should show up (Win 9X), if you're using XP, select "Select the program in a list", anyway once you have the list, there is either an other or browse option there, in that find your Graal.exe (Default: C

Graal2001\Graal.exe), double click it and it should appear on the list, then check the box next to "Always use this program for this type of file", now Graal should automattically open those files.
You'll need to do it twice, seperately, for both types of file though.