You are so lucky. I've installed on every Windows machine I've had for years and have never had it work out of the box. I've got to right-click a .7z and choose open with -> 7zip.
I'll take a look at my setup when I get home tonight.
You can change the associations in the program settings but you have to be in administrator mode, otherwise they don't stick.
http://www.7-zip.org/faq.html