OK, I got it.
Now, I'm using Win2K so it may be slightly different for Win9x:
Open the registry (Start > Run > regedit)
Do a search for WordPad
When you find a folder called "WordPad", open it and look for an "Options" folder.
Open it and locate the key DefaultFormat.
Double-click it and change the value. On my system, changing it to 9 made "All Files" the default file name to open.