On installation HIARCS Chess Explorer is set as the default application to open PGN database files. If HIARCS Chess Explorer is not the default application for the PGN file type you can set it by right clicking on a PGN file in Windows Explorer and selecting properties when you will see the following dialog:

You will see the line beginning "Opens with", if that does not say HIARCS Chess Explorer you can click Change... and change the default application to open your PGN databases.