Set Associations Control panel

While trying to play an application installation disc on my CD/DVD drive today I got the following error message: 'This file does not have a program associated with it for performing this action.  Create an association in the Set Association Control panel.'    I have no idea what this means.  WHERE is the Set Associaton Control panel and HOW do I create an association or respond to this message.  I have a Dell Inspiron 530s,...Vista OS...3 GB ram.