Assuming you've loaded the Java JRE and/or Java SDK, then
To do associations, go to "My Computer", click on one of your drives (C: for instance).
When it is shown, choose "Tools" »» "Folder options" (or Properties... it's in different places depending on the Windows version).
Open Windows Explorer (just open any folder) to get the "Tools" -> "Folder options" window.
When you get the "Folder options" window, click on the tab "File types". You should be able to either edit or add JAR files (.jar extension)
Change the program used to open JAR files. In the file select window, go to the folder where the JRE is installed (should be C:/Program Files/Java/..., mark "Always open with", and select the javaw.exe file.