|Are you trying to open email attachments?|
Setting associations simply associates an application to a filetype in order to make it the default program for opening the file. If a file is not associated with a program, when you try to open the file you'll be asked what program you want to use to open it.
There are three ways to set file-to-application associations, you can access the application's preference settings, you can right click the file, choose "open with" and "set default", or in the CP you can open "Default Programs"/"associate a file type or protocol with a program". It's in the Programs menu, or if you use "Classic View" it has it's own icon there.