In Windows you can change file associations from the command line using the assoc and ftype commands (You can currently download a Windows Command Reference PDF file from here).
You can see what file type is currently associated with .py files using the assoc command:
> assoc .py
.py=Python.File
With that information you can then check to see what program is currently associated with the Python.File file type using the ftype command:
> ftype Python.File
Python.File="C:\Python2.6\python.exe" "%1" %*
You can also use ftype to change the associated program:
> ftype Python.File="C:\Python2.7\python.exe" "%1" %*
Python.File="C:\Python2.7\python.exe" "%1" %*
Associations set this way are persistent because they're stored in the Windows Registry. That means you will need to set or restore it to what you want before terminating the cmd.exe session. I'd suggest using one or more batch files for this purpose.
cmd.exe itself accepts a /k parameter, which you could use to have it execute a batch file at start up that sets up the file association you want initially. You could then also provide a custom quit.bat that would restore it before exiting the cmd session.