Here's a little trick I've just figured out to associate files on a computer with specific startup applications.

In our case, we want to be able to double-click on *.app and *.apl files to have them opened up by our ZAV-packaged version of SQLWindows.

We setup a windows batch file (say "start_sqlwindows.bat") with the following content:
start "" C:\virtual_app.exe sqlwindows %1

"virtual_app.exe" is the executable we produced with ZAV; "sqlwindows" is a trigger to launch the SQLWindows IDE.

To find out why the doublequotes, see Run Windows application from Command Prompt.
"%1" is the name of the file we double-clicked on, as passed to the windows batch file.
On the computer that we will run "virtual_app.exe", we setup *.app and *.apl files to open with "start_sqlwindows.bat". Now when we double-click on *.app and *.apl files, the windows batch file passes along the name of the file we want to open to the virtual application.