All youhave to do is right click the mp3 and select ''open with'' itunes and windows media player are both in the list of options. You cannot pre select which individual files to open with a certain program but you can pre select a certain file type eg: mp3 or wma or wav. to be the default player for that file type.
Mullykid has the right idea but what I want is for only certain mp3s to open with iTunes and other mp3s to open with windows media. If i use mullykids suggestion then all mp3s open in itunes