Only one program can execute a file type at a time, hence the default program that will open the file association. Prior to file types having associations to programs, you would have to open the program first and then open the file. Remember, there is only one default program that will open a filetype. So if you set a program like Paint to open a .BMP, it will be the only program that will open it by default, unless you run a separate program and open the file or drag and drop manually.
If I understand your request, you would like Foobar to open music files like MP3, OGG, and WMA. To do this, you need only go to Start -> Default Programs -> "Associate a file type or protocol with a program". This is described best as "Make a file type or protocol (such as .mp3 or
http://) always open in a specific program"
Only one program will do this at a time. If you are having an issue whereas if you open a program like iTunes or Windows Media Player, and the default then goes back to one of those programs, this is because somewhere in the options it is set to always be the default player. You need to uncheck that option.
Otherwise, you can very easily make foobar2000 the player of choice for your files using Set Default Programs. Only one program is going to run when you open a file, so replacing it as simple as selecting the foobar2000 executable and clicking OK or Apply.