If you use the portable (zip-file) version, it doesn’t register itself with Windows, so Windows doesn’t automatically list it for choosing with “Open With…” or similar. However, under most versions of Windows, you can select “browse” in the “Open With” dialog, and go find notepad++.exe yourself.
Or, if you are an advanced user, you can edit your association(s) in your registry. (For example, in mine, HKCR\.txt\ uses the (Default) string value with data txtfile, and HKCR\txtfile\Shell\open\command\ uses the (Default) string value of my full path for notepad++.exe. If you don’t understand any of those terms in these parentheses, you probably should be wary of editing your registry yourself.)