The file associations are indeed a bit of a pain in Windows. The best advice I can give is to not establish the association from Explorer, but instead to do it from within the editors themselves. So, if you are having problems, try to remove the association from Explorer and then add it from the editor. That may help, but it is not a 100% solution as the whole issue is quite complex and the actions taken by Windows when a file is double clicked may depend on numerous registry entries and differs by Windows version.
In general, I also do not particularly like the way the Open window works. It has been customized, because the opening and saving of files is like many things in RW apps extendable by plug-ins and the standard window would not fit in the schema. You may have noticed, that you can open and save files to the "Tagged library" in addition to the file system. If I ever find enough time, I'll try to integrate some of the cloud services in a portable way (so that you would be able to work with files in your DropBox or Google Drive directly and on all computers). These will then appear in the Open/Save windows as new tabs.
That said, the problem with .lnk files is definitely important and I shall fix it asap.
Also, I usually open files by dragging and dropping them on the application window - not ideal, but possibly the best of bad ways.