Normally, right clicking on a file and choosing 'Open With' will activate the Windows association wizard. There you can select 'Choose default program'. This will show some apps, and sometimes the Embrilliance yellow needle icon will be listed and you can choose that. If not, click 'More Options' and Windows will show most programs on the computer. You likely will not see the yellow needle icon there, so scroll all the way to the bottom of that list and choose 'Look for another app on this PC' which will let you browse.
Browse to the location:
C:\Program Files\BriTon Leap\Embrilliance
And double-click the 'embroidery.exe' icon. If you have certain settings in Windows you may not see the '.exe' part of the name. But you will see the icon. Windows should now be able to open those files with Embrilliance.