There are a number of ways of doing this.
1) Go to the settings menu --> configure konqueror --> file associations
2) Right click on the file, go to edit filetype and add a new entry for your player, then make sure it is at the top of the list.
3) Right click on the file, go to open with..., then other. Type in your player and then check the tick-box remember application association for this filetype.
Using method 3 your new player may not be at the top of the list.