XP/win7 gvim - File Associations

In regedit: Navigate to Computer\HKEY_CLASSES_ROOT\Applications and find your .exe name. 

Navigate under its name to shell>open>command. In the Default change its location to the actual location of the executable, hit okay and then try and reassociate the file type as you normally would.

C:\Program Files\Vim\vim72\gvim.exe --remote-tab-silent "%1"

Then go to XP/win7 'File Associations', and set the files you want.