Strange Filetype issue

Never seen this before, and can't quite work it out.
(New to XP, sorry if it's a "Normal" issue!!)

If I click a wav, up pops the "Pick a program" requester.
I select "Always use" and click on "Media Player Classic"
Up pops MPC. Plays the wave.
If I then click on the wave a second time...

Up pops the "pick a program" requester...

!

If I go into Media Player Classic's Filetype registering area, and tick
Audio Files (.wav), as soon as I click "Apply", the tick disappears.

This also happens for other files, too.
I'm really quite baffled!

.