This works only if you have installed using the binary distribution.
First, find a Zargo file, and right-click on it. You should get the normal Windows menu, including an Open or Open With option. At this point, give a description for the file like "ArgoUML Model", and tell Windows to use Notepad to open the file. That's not what you want to do ultimately, but it does get Windows to accept the .zargo extension as representing a valid file type.
Now, open Windows Explorer and from the menu select View->Options (or on Windows XP: Tools->Folder Options...). You should get a two (or more) tabbed dialog. Click the "File Types" dialog, and then scroll through the list for the Description you gave - in the example "ArgoUML Model". Click to select that file type, and then click the "Edit" button.
Now, click on the "Open" action and then the "Edit" button there. You will then get a dialog that has a line for entering in the application action which will have a line for using Notepad to open the file. Replace that line with: "C:\Program Files\Java\j2re1.4.0_01\bin\javaw.exe" -jar "c:\ArgoUML\argouml.jar" "%L"
Substitute your path to your
argouml.jar files if they are
in a different location.
Click OK, then click OK, then click OK (three buttons on
three different levels of the dialog).
The %L in the above commandline is needed instead of %1 because that is the way to support filename extensions of more than 3 characters.