You're not being thick, I was being a bit of a dimwit it seems. You're right, by default doing the file association will result in double-clicking launch that app.
However I just tried it again on an XP system where I thought I had Slick Edit already setup with this file association. Turns out it wasn't, but it's interesting.
BEFORE:
Double-Click: launches the command interpreter.
Right-Click:
Open
Edit.
Edit launches notepad (augh!), Open does the double-click action.
AFTER setting file association through VS (2009 in this case):
Double-Click: launches Slick Edit
Right-Click:
Open
No Edit menu entry. I guess I was hoping that it would've just changed the Edit verb; I suppose for .bat/.cmd I should edit it through Windows rather than through the VS config.
Steph