I had this problem, to an extent, when I swapped over to a Windows 7 computer from XP. I only copy-pasted the whole JJ2 folder instead of installing, so Windows didn't have the proper file associations. But after I opened one and manually selected JCS, it automatically associated them. So, when you choose to open a level, it'll open a box saying that 'Windows can't open 'blablabla.j2l'' and ask you to look up a program on the web or choose a program yourself, right? I'm pretty sure that if you browse to JCS.exe it'll automatically use that from now on. It worked for me, at least.
Also, what does it say under 'type' in Windows Explorer?