This happened to my father yesterday, he was trying to open a file with a specific program in Windows 7 and somehow he managed to associate all .LNK files with Windows Media Center application.

After reading a while online I found the way to solve it by following these steps:

1) Click Start Menu, and then type regedit in the Start Search and press ENTER.
2) Navigate to the following registry branch:

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\FileExts\.lnk

3) Click on the arrow to expand it and delete the sub-key named UserChoice.
4) Exit from Registry Editor.
5) Reboot

Source.