How do I put my shortcuts on my computer desktop back to there orignal function?

Okay, so I was trying to put a game on my computer and it said "How would you like to open the file?" So, I chose a file (Windows Media Player) And now all of my icons go to that. And it just changes all of them each time i try to change it back. I'm no computer expert so I could use some help getting them back in order. Please and thank you!!