If you are on a Mac, select the file and go to File > Get Info (or right-click). Under Open With, Select the Program you want, such as ADE (I prefer iBooks). Then click Change all to change everything that ends in .epub to open in ADE.
If you are on Windows, right-click. It should say Open With, and again, select ADE, and again select for all files.
This is an Operating System issue.