Sometimes a file's default behavior for opening doesn't suit you. Maybe you want to open a particular video file in a different player, or an editor instead. Maybe you want to change the behavior for opening files completely so that instead of videos opening in QuickTime they always open in VLC. Mac OSX provides easy ways to do that.
First of all, to open a single file in a program other than the default one time, you simply right-click on the file, (Command-Click if you have a mouse without it), then hover over Open With and select your program. If you need to, go into the Other... menu to select exactly which one:
(If, in the Other... window, the app you want is greyed out, select "All Applications" in the Enable drop-down.)
To change the default app for any particular file is a little bit tricker. Right-click again, and select "Get Info" this time. In the resulting window, scroll down to the section titled "Open with:"Changing the item in the drop-down menu will cause this file to always be opened with that app, regardless of the default for that file type. And finally, if you want to change the default app for all files of its kind, simply select the "Change All..." button to make every file that has the same file extension as the one you selected open in the app you chose.