I thought I'd just check, because I seem to have had the occasional problem with this my end.
Does Construct 2 correctly associate .capx and .caproj files in Windows Explorer? It ought to set the file association when the editor starts up, but I'm not sure it always does. Once you've run the Construct 2 editor, double-clicking a .capx file should never ask you which program you want to launch - by then it should know to launch Construct 2.
Is this working for everybody?