I used option
Click Browse, locate and then click the program that you want to use, and then click Open., but program was not added to list and I could not select it.
Problem was in wrong path to exe file in registry key HKEY_CLASSES_ROOT\Applications.MyProgram
It happened while program was moved (or renamed) after it was installed and register records were created.
I got idea to check register entries after reading next tips:
Adding to Open With "Other Programs" list
How to change or select which program starts when you double-click a file in Windows XP
How to Remove Programs from the "Open With" List
support
The programs on the Open With list for each file type are independent of that file's registered program(s). To remove items from this list, locate the following registry key
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\ Explorer\FileExts\.extension\OpenWithList
NOTE: The above registry key is one path, it has been wrapped for readability.
where extension is the file extension for the file type whose Open With list you want to modify. Delete the value in this key that represents the program to be removed from the Open With list.