A specific file type may open in one application when you double-click it in the OS X Finder, but there may be occasions for which you want to have files of that type open in another program. One option for doing this is to open it directly using that program's Open dialogue box, but you can also right-click the file and choose the desired program from the "Open With" contextual submenu.
If you wish to permanently change the program with which this file is associated, you can do this as well.
The general method for changing the default program is to select the document and then press Command-i to bring up the information window, in which you can select the program to open the file with. However, if you regularly change program associations, you might find the info window a little cumbersome.
An alternative to using the info window is to use the contextual menu itself. If you right-click on a document, you can hold the Option key and the "Open With" submenu title will change to "Always Open With." Now the file will open with the selected program, and will continue to do so afterward.
Alas, this behavior will only change the association for the selected file, not all files of this type. If you would like to reassociate all files of a particular type to a new application, you will need to use the information window and then click the Change All button to update them.