To clarify Matt’s suggestion, refer to the screenshots below.
Open the “Change file associations” dialog and click the “...” button for .dwg file association. (first screenshot)
In the “Choose a Program” dialog, click the “...” button at the bottom (Select a Windows shortcut…) (second screenshot)
Select your shortcut containing the .arg specification.
In the shortcut properties, add the “%1” (including quotes) at the end. (third screenshot).
You should be able to launch your .dwg files using the shortcut with the .arg specification.
Hope this works for you,
Faan