I believe your problem is down to associations, this is why I made my suggestions above.
However the other way of doing this is as follows:
Open My Computer
Click on Tools > then Folder Options
Click on the File Types tab
At the top you have a short list that start with (NONE), find the one that is listed as:
(None) URL:HyperText Transfer Protocol
Highlight this and click on advanced. In this screen you should have an action named open. If not click on new and enter the information that follows. If you do have an entry named action then check the details are the same as below.
Action = open
Application Used to Perform action = "C:\Program Files\Internet Explorer\iexplore.exe" -nohome
DDE Message = "%1",,-1,0,,,,
Application = IExplore
Topic =
Greg Palmer
Free Software for Adminstrators