I chooose "my program". It then goes to load and closes out. I want "my program"to stay open with "my file" ready to edit.
This doesn't sound like a file association problem... it sounds like a problem with your editor. (An editor that you wrote, right?) If I'm off base here, please be very detailed and thorough in your follow-up.
PS: You can make it so that Windows will not ask you what program to open your file with each time by clicking the "Always use the selected program to open this kind of file" checkbox on the "Open With" dialog (where you choose "your program").