Gorgonzola-You get the 'open with' option if no application has been associated with the file type you are right-clicking.
Here's another handy tip -- If you are trying to open files with a certain program all the time (hence the need for the 'open with' option), you can make this program appear in the 'send to' option you get with a right click. I do this with notepad, so that I can open any file I want in notepad by right-clicking and choosing send to-notepad.exe. Just add the shortcut to the documents and settings-user-send to folder. this is must easier and faster than using the 'open with' option.