Go to Default Programs (type DEF into the Start Search field and hit ENTER) > Associate a filetype or a protocol with a program > there you can change it.
If you want to do it in the registry, this is the key: HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Screensavers\

If you are ok with editing the registry go to HKEY_CLASSES_ROOT\.scr and set the default value to scrfile. You may then need to log out and log back in. That should restore the default assosication.

Edit: Fixed registry key

Glad that worked. Somehow I've been thinking it was "HKEY_CURRENT_ROOT" for a while now. I guess I must have confused it with "HKEY_CURRENT_USER". I've corrected the post now.