Right-click a file of the type you want to make default, then go to Open With, then Choose Default Program. If Paint.NET is in the list that shows up, click that and make sure the "Always use" box is checked. If it's not, you'll have to browse to C:\Program Files\Paint.NET\PaintDotNet.exe.
If Open With isn't in the list when you right-click the file, try again and hold Shift while right-clicking.