You need to change the file association of the .MJR file so that windows opens it with Media Center.
If you have the option "Select program to open this file with" on that prompt you are getting, then do that, and look for Media Center in the list of programs. If you can't find it then use the browse option to find the Media Center executable file, at the location you installed it to.
You should also be able to change the association by viewing the file properties in explorer (right-click and select properties on selected file)