The file associations are set by the installer. As alansplace said you can uninstall and reinstall associating the files you want to default be opened by Sigil. Not having a file associated does not mean Sigil cannot open it. It just means Windows won't open it in Sigil by default when you double click that file type.
I don't see a need to incorporate the ability to change file associations into Sigil. This is a very Windows specific feature and best left to Windows to deal with. See
this for information on how to change file associations in Windows.