For the reference, I found that mimeopen helps to set via command line.
To set the file type to open with particular program use mimeopen as follows.
mimeopen .<file-extension>
Upon asking, choose the program if present in the menu. As mplayer was not available, I chose #2.
Please choose a default application for files of type video/x-matroska
1) Movie Player (totem)
2) Other...
use application #2
use command: mplayer
Opening ".avi" with mplayer (video/x-matroska)
MPlayer svn r34540 (Ubuntu), built with gcc-4.6 (C) 2000-2012 MPlayer Team
mplayer: could not connect to socket
mplayer: No such file or directory
Failed to open LIRC support. You will not be able to use your remote control.
Playing .avi.
File not found: '.avi'
Failed to open .avi.
Exiting... (End of file)
Now, If I open any .avi files via GUI, it opens, by default, with mplayer.