XP or Vista:
-Right click on icon -> Properties -> 'General' tab -> Opens with (hit the 'Change' button)
-Select Bryce from the list of Programs.
Gives you a pretty Brycesque Icon for your .mat files.

For 'installing' .mat files; I've always just dragged the file(s) into folders in the 'PresetsMaterials' folder of Bryce directly with explorer. Only time I use the internal system is to combine several .mat files into one big collection, or to split a big one into several smaller collections.

EDIT - running a .mat file from Windows will not help you...

Friends don't let friends use booleans.