1) Select the Options line from the View pulldown menu:-

2) You should get a new window which a Programs Tab, select the Programs Tab :-

3) Next hit the File Types... Button half way down the righthand side of the window:-

4) Hit the New Type button in the top right corner :-

5) Fill out the top lines with :-
    Rasmol PDB file
    pdb
    chemical/x-pdb
    pdb

and then select the New button in the lower left of the window :-

in the top field type:-
open

in the lower field use the browse button to find the raswin32.exe file and then add to the end of the line :-
-pdb %1

Hit OK,

6) It should finally look like this :-

7) Hit close, OK etc to get back to the main screen.
8) Test it with this link