Just to be a little more descriptive of the problem. I wanted to let you know that I think that there is no problem if you are using EmEditor as Admin, but I don’t have those privileges, just a plain ol’ member of Users.
I tried with a Standard User, and there was no problem. When you click “Associate with EmEditor” button on the File tab of Customize dialog box, you will be asked to enter the Administrator’s password. Have you been asked for this password when you click this button?