Right Click any media file type (for example .mkv or .mp4) that you want to watch with MPV, then click on "Properties".
It should look like this image below, then click "Change". Scroll down the list and click "Choose an app on your PC" at the bottom of the list. Then navigate to the directory "C:\Program Files (x86)\SVP 4\mpv64" and choose the "mpv" application (it will be the purple icon one). Then choose it as the DEFAULT app for that file type.
When you encounter a new media file type (for example say you done it for .mkv above, and then you go to a .mp4 file type), all you have to do is click "Change" under Properties, and mpv will always be there from now on.
You only need to do this ONCE for each file type you choose. After that it should save for the future.