Windows has a set of programs that it will always use by default when you're opening certain file types. Movies, for example, open with the new Videos app in Windows 8. Most of the time this is fine, but you might prefer a different program to do the job, such as VLC Media Player.
To change the default program, right-click on the file you want to open and select Open with > Choose default program.
This will open a new dialogue in Windows 8, with this Metro-style interface (curiously, it opens within the traditional desktop), where you can select what you wish to use. Check the box that says "Use this app for all files" to make the change permanent.
If you want to do this for more than one file type at a time, you can still make changes through the Control Panel. If you haven't got it pinned to your Start screen, the quickest way to open it is to do a quick search through the Charms bar. Once it's open, select Programs > Default Programs.
From here, you can choose to either associate certain file types with programs or list all of the programs available and set specific ones as defaults for all of the file types it can open.
As there are so many file types to go through, I find it easier to select "Set your default programs" (as seen in the main image at the top of the page). From here, you can set each program to become the default for all of the file types it's able to open.