Right click on an a picture, and select properties. Click the general tab, and it should show it opens with PSP. You can change that to what you want. There is also an option to see all file types and their links from within explorer (tools/ options somewhere). Out of interest you must have selected for PSP to be the program to open these files. When you agree it changes their properties.
And when you say you can't load it into DBP, then if you mean simply loading it in code, then it will still work. It's just that every file has a link to a program that opens it, and a description. You agreed for PSP to handle these files, so basically it calls them PSP files. Don't worry about it.
Cheers
I am 99% probably lying in bed right now... so don't blame me for crappy typing