First you can specify in UltraEdit a macro file which should be automatically loaded on start of UltraEdit if not a macro file on command line is specified.
Second except for the shell integration with the ue32ctmn.dll (see right click to "open in UltraEdit"
) you can create for every file assiociation a specific commmand line for opening a file. A Windows file association is nothing else than a command line specification with current file name as parameter. By default such a command line specification for a file type contains only the name of the EXE with full path and "%1" as parameter specification for the current file. But you can add everything you want to such a command line. See for example In Windows, how do I associate an application with a file type?
or simply use help of Windows which is by default for installed for all Windows but rarely used by the users.
At Different font depending on file extension
you can see a registry example how to assign 2 files with UltraEdit with an additional command line parameter giving you an idea how to do that. It's just an example, there are a few methods how it can be done.