Open With: Just this file, only this time
Select the icon, choose File -> Open With and select the desired application from the list.
In the example below you do right click on the application and select "Open With" directly.
Always open with: just this file
Now let's say the same file you want to always open with an application.
By going trough the same menu as above, you hold down the option key (alt) and "Open With" will become "Always Open With".
Always open with: all files with the same type
This is a bit different. You have to select the icon, right click, choose "Get Info" and then from "Open With", select the desired application and press "Change All..." button