See:
http://support.microsoft.com/?kbid=821692 as well as:
USING FIREFOX WITH OUTLOOK
Following a series of Internet Explorer exploits, many security experts
recommended users switch to a different web browser and many users took
their advice, often choosing Mozilla's Firefox. Unfortunately it
doesn't work as expected with hyperlinks in email messages. While the
links open in Firefox, the File, Open dialog is also displayed,
indicating that you need to locate firefox.exe. After you do this,
clicking once on a link opens two browser windows.
This is caused by an incorrect DDE setting for the HTTP file
association. To correct it:
Open Windows Explorer and select Tools, Folder Options, File Types tab.
Browse the list of extension and locate the extension labeled '(NONE),
File Type: HyperText Transfer Protocol'.
Click on the Advanced button at the bottom of the dialog to open the
Edit File Type window.
Select the entry named 'open' and click on the Edit button.
Remove the checkmark from the Use DDE dialog and click OK to return to
the File Types dialog.
Repeat for the HTTPS (HyperText Transfer Protocol with Privacy) and FTP
protocols.
Outlook will now correctly use Firefox to open hyperlinks contained in
messages.
For more information, see
https://bugzilla.mozilla.org/show_bug.cgi?id=246078