Obviously there is a bug when trying to open JNLP files on Mac OS X using Chrome, Safari, Firefox or any other browser.
In Chrome just let download the file once, then, in the download bar click on the small arrow and select "Always open files of this type" (it does not work if your file does not really end up with .jnlp – sometimes you may have session ids or parentheses after the actual extension).
Then click open, click on "Choose program" and go to this path: /System/Library/CoreServices
There should be an executable Java-Web-Start (javaws executable)
Double-click on it and it's done!
The following command is supposed to work as an alternative, in my case it didn't work out. I'd like to mention it nevertheless:
/System/Library/Frameworks/CoreServices.framework/Frameworks/LaunchServices.framework/Support/lsregister "/System/Library/CoreServices/Java Web Start.app"