Find a .PBP file in Windows Explorer.
Right-Click it and choose "Open With" then "Choose default program ...".
MicroCode might be in the list, or click "Browse" to navigate to the MicroCode Studio executable.

It's usually located in c:\Program Files\mecanique\MCS
On 64-bit systems it's c:\Program Files (x86)\mecanique\MCS

For MicroCode Studio PLUS, it's MCSP instead of MCS.
For PBP3, it's MCSX or MCSPX.

Insure that "Always use the selected program to open this kind of file" is checked and press OK.