The "Open with" selection in the right-click menu allows you to choose a different app to open a particular file, but does not change the default.
Here's how to do that:
From your chosen file, choose Get Info, either from a right-click menu, or from the File menu
Click the Open With drop down menu, and choose your desired app.
If you want that app to open ALL documents like that, then click the Change All button.
There's other methods to change the default app used to open a particular document type, but the Get Info/Open With is the easiest (and quickest)