<p>I have a few questions related:</p>

<p>1) Is possible to make my program change filetype association but only when is running? Do you see anything wrong with this behavior?</p>

<p>2) The other option that I'm seeing is to let users decide to open with my application or restore default association ... something like: "capture all .lala files" or "restore .lala association". How can I do this? What do you think that is the best approach?</p>

It can probably be done but I think it would end up being cumbersome.  All file type associations are stored in the registry so you would have to write/revert registry entries every time your app starts and stops.  Also, depending on how frequently you do it the new associations may not be picked up in Windows explorer immediately.
The associations are listed under HKEY_CLASSES_ROOT in the registry and can be mapped a whole myriad of ways (mime types/progIDs/etc).
Many apps I have seen ask if you want to associate certain file types with the application during install time, and give you the ability to opt-out and leave the current settings.
I don't think I'd recommend "on the fly" file type associations