To create an assocation between your LispWorks for Windows application and files with a specified type (file extension), create a DDE server in Lisp and register the file types in Windows.
There is an example of this (for the LispWorks IDE) in
examples/dde/lispworks-ide.lisp
, but the technique is the same for any file extension.
LispWorks Delivery User Guide - 13 Dec 2011