New versions of Windows require Registry editing since the file association control panel does not allow you to specify parameter passing. One source suggests using this in a text file saved as "foo.reg" and opened by Windows:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\Perl\shell\Open\command] @="\"C:\path\to\python.exe\" \"%1\" %*"
This should cause Windows to pass the filename to the interpreter.