Создайте "батник" с содержанием:
@echo off
SET st3Path=C:\Program Files\Sublime Text 3\sublime_text.exe
rem add it for all file types
@reg add "HKEY_CLASSES_ROOT\*\shell\Open with Sublime Text 3" /t REG_SZ /v "" /d "Open with Sublime Text 3" /f
@reg add "HKEY_CLASSES_ROOT\*\shell\Open with Sublime Text 3" /t REG_EXPAND_SZ /v "Icon" /d "%st3Path%,0" /f
@reg add "HKEY_CLASSES_ROOT\*\shell\Open with Sublime Text 3\command" /t REG_SZ /v "" /d "%st3Path% \"%%1\"" /f
rem add it for folders
@reg add "HKEY_CLASSES_ROOT\Folder\shell\Open with Sublime Text 3" /t REG_SZ /v "" /d "Open with Sublime Text 3" /f
@reg add "HKEY_CLASSES_ROOT\Folder\shell\Open with Sublime Text 3" /t REG_EXPAND_SZ /v "Icon" /d "%st3Path%,0" /f
@reg add "HKEY_CLASSES_ROOT\Folder\shell\Open with Sublime Text 3\command" /t REG_SZ /v "" /d "%st3Path% \"%%1\"" /f
pause
rem add it for right click on explorer
@reg add "HKEY_CLASSES_ROOT\Directory\Background\shell\Sublime" /t REG_SZ /v "" /d "Open with Sublime Text 3" /f
@reg add "HKEY_CLASSES_ROOT\Directory\Background\shell\Sublime" /t REG_SZ /v "Icon" /d "%st3Path%" /f
@reg add "HKEY_CLASSES_ROOT\Directory\Background\shell\Sublime\command" /t REG_SZ /v "" /d "%st3Path% \"%%V\"" /f
pause
Нужное (путь к исполняемому файлу) заменить и запустить