Interesting. I had the sae problem actually when I installed version 9 and removed version 8. I went on to install SAS Viewer and double clicking a .sas file opens SAS Viewer, which I'm happy with. Personally, I prefer this method as mostly when I double click on a SAS program I just want to have a look at the code and opening the SAS System takes a while.
However, if you want to change it so that double clicking on the SAS program file opens the SAS System try the following (I'm doing this under Windows 2000, so the options might be different under XP).
1 - Right click on a SAS File.
2 - Click Properties. Near the top of the properties window it'll show you what it wants to open the file with, click "Change...". If SAS isn't on the list (it isn't on mine for some reason) then click "Other..." and navigate to your SAS.exe program and select that. Click the various OK buttons to complete, then double click the program again, should now open with SAS. Don't forget though, that if you double click on a second SAS program, you'll open another SAS session.
If you want SAS Viewer, it is available for download from the SAS site I believe, and it is also located on one of the install disks that came with SAS 9.1.x.
Hope this helps.