Mozilla recommends launching the Windows wizard from Options>Set Firefox as default, which launches the Windows settings dialog, which..wait for it..does not even show Firefox in its list:

I tried to bring up the “Set defaults by app”, but again, no Firefox in the list! It appears that the Settings>Choose defaults thing is seriously botched.
However after a lot of hair pulling, to my surprise, I found another place to set Firefox as default. It appears that while integrating Windows 8 and 7 like features into Windows 10, Microsoft has duplicated this option, and the proper place to do this is to just type the following into the addressbar of Explorer:

Control Panel\All Control Panel Items\Default Programs\Set Default Programs

Within that Window, in one click, Firefox can be set as default. Actually this is the same settings screen that shipped with Windows 8 and 8.1 and works just fine: