Goto Windows Explorer, then on the tools menu select Folder Options. On the window that opens select the File Types tab and look for URL. Select it and Click the Advanced button near the botto of the window.
A new window will open - make sure "open" is selected and click edit..
Under "application used to perform action" make sure the following is there...
rundll32.exe shdocvw.dll,OpenURL %l
Then check that DDE is checked and Application shows "shdocvw" and Topic: is showing "system".
Then OK your way back out to save the settings and try again.
EDIT: You may want to try this tool first though to see if it does all this for you automatically...
http://www.pc-tools.net/win32/setbrowser/