I am not sure if it's just me experiencing this. Windows does not take the sublime_text.exe when ever i chose it as the "Always open with .." option. If the executable name is changed to just sublime.exe it works fine.
Windows 7 64 bit.
Sound like this issue: viewtopic.php?f=2&t=1652&p=7646&hilit=open+with+windows#p7646