On my system (Windows Vista Home Premium 64bit) Python files are associated with Python interpreter:
C:\Users\Piotr>assoc .py.py=Python.FileC:\Users\Piotr>ftype Python.FilePython.File=c:\python\2.7\python.exe "%1" %*Nevertheless when I run any Python script from command line a window titled Open With pops up asking me to Choose the program you want to use to open this file.