The reason this is a problem for lots of people is that many programs you install try to "grab" all the three character extensions for themselves so they open in their program.
So movie files like MPG, AVI, MOV etc can be grabbed by the last video program you install.
So if you install Nero it will grab them, then if you install say Real Player it will grab them, then if you install QuickTime it will grab them.
Most of these programs do put up a window at the end of the install saying "do you want us to open these file types" but we all tend to press OK without reading the text.
I usually click NO on a window like this to leave the defaults as they are.