One of the relatively typical operations is to associate application with files with specific extension.
Most of OS provide way to do this and this is usually supported by native install technologies.

Possible implementation hints:

1) Mac - can be added to Info.plist

The it is proceeded in main something like this:

    if (System.getProperty("os.name").contains("OS X")){
        Application.getApplication().setOpenFileHandler(new OpenFilesHandler() {
            @Override
            public void openFiles(OpenFilesEvent e) {
                for (File file : e.getFiles()){
                    //Handle file
                }
            }
        });
    }

2) Windows
      exe: http://www.jrsoftware.org/isfaq.php#assoc
      msi: http://stackoverflow.com/questions/6901285/wix-file-association-with-standard-windows-file

3) Linux
     use free desktop specs. Will need to tweak build template files for this.
     see 17. in http://installbuilder.bitrock.com/docs/installbuilder-userguide/ar01s17.html