After installing Adobe PDF reader: *.PDF will be opened by the same. *.html with web browser. *.txt with notepad. If we want to make notepad++ a default editor of text files. I guess it simply changes the filetype - program association.

Where exactly in the registry are these filetype - program associations stored in the registry? In other word, how does Windows know with which software/program it must open a certain file(type)

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The open with associations are all stored in HKEY_CLASSES_ROOT.

This is a special registry hive that combines the local user's associations in HKEY_CURRENT_USER\Software\Classes with the system's associations in HKEY_LOCAL_MACHINE\Software\Classes.

Here's a shot from my registry for the PDF association you mention in your question:

PDF file association in the registry

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Just to extend Gareth's answer:

From playing with the registry it looks like

  • entries from HKEY_CURRENT_USER\Software\Classes override entries from HKEY_LOCAL_MACHINE\Software\Classes in the HKEY_CLASSES_ROOT\Software\Classes
  • setting file's extention association from command line using assoc command acts upon HKEY_LOCAL_MACHINE\Software\Classes
  • setting file type association from command line using ftype command acts upon HKEY_LOCAL_MACHINE\Software\Classes
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