Paul
For me double-clicking a PJX in Windows also opens VFP9 with the project file open and ready.
When I examine the .pjx entry using FileTypesMan (https://www.nirsoft.net/utils/file_types_manager.html) the registry key is:
HKEY_CLASSES_ROOT\Visual.FoxPro.Project\shell\open\command
and the value is a REG_SZ equal to
"C:\Program Files (x86)\Microsoft Visual FoxPro 9\vfp9.exe" -SHELLOPEN "%1"
HTH