You must have disallowed registration of SAS-specific file extensions with SAS software at the end of your installation. You can do it now from Windows Explorer, but specific menus may differ from one version of Windows to another. I have Vista and the instructions above by Robbie do not work - no such tab any more.
Try right-clicking (you may have to do simultaneous Shift and right click) on the program file (filename.sas) and select Open With... There might be some applications to choose from like Notepad, Internet Explorer, Word, etc. Select Choose Default Program..., the last item on the menu - a new window opens. At the bottom there should be a Browse button. Click on it and navigate to SAS 9.3 SASHOME directory and select sas.exe file. Check the box to always open with this program and click Save.
The SASHOME should be something like this: C:\Program Files\SAS\SASFoundation\9.3 - you must find sas.exe file.
You can do the same with SAS datasets extensions, catalogs, macros, etc. I prefer .LOG files to remain associated with Notepad, because many other programs create log files, including Windows OS. If you have SAS Universal Viewer, you can associate the data files with it.