Run Windows Explorer, and from the "Tools" menu, select "Folder Options".
On the "Folder Options" dialog box, click the "File Types" tab. You'll see a list of all the registered file extensions. Scroll down until you find "MOBI"; it will show you the name of the application it opens with, which will probably be Internet Explorer from what you've said. Click the "Change" button alongside it, and select the Mobi Reader application. Do the same thing for the "PRC" extension.
That should sort it.
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