You may want to look at this article:
http://support.microsoft.com/default.aspx/kb/257464
RESOLUTIONTo resolve this problem you can use one of two methods listed
here: Method 1This...To resolve this problem you can use one of two methods
listed here:
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Method 1
This method resets the default file association for the URL: Hypertext
Transfer Protocol by re-registering the urlmon.dll file.
Click Start, point to Settings and then click Control Panel.
Double-click to open Internet Options.
On the Programs tab, ensure that Internet Explorer should check to see
whether it is the default browser is enabled.
Click Reset Web Settings.
In the Reset Web Settings dialog box, click to clear the Also reset my home
page check box.
Click Yes, click OK, and then click OK again to apply the settings and close
the dialog boxes.
Click Start, and then click Run.
In the Run dialog type regsvr32 urlmon.dll, and then click OK.
Click OK to acknowledge the success of the Urlmon.dll registration.
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Method 2
This method involves manually editing the file type association.
Double-click the My Computer icon.
On the View menu, click Folder Options (Microsoft Windows 98) or Options
(Microsoft Windows NT), and then click the File Types tab. In Microsoft
Windows 2000, click Folder Options on the Tools menu.
In the Registered File Types box, click URL: Hypertext Transfer Protocol. In
Windows 2000, click File Types to sort the files alphabetically. The programs
that are listed in the Opens With box are the programs with which hyperlinks
are currently associated.
If the program in the Opens With box is Iexplore (Microsoft Internet
Explorer), click the Edit button. If another program, such as Netscape, is
associated with this file type, you must troubleshoot that program to
reassociate the file type.
In the Edit File Type dialog box, be sure that open is listed in the Actions
box. If open is not listed, click New, type open in the Action box, and then
click OK.
Click open, and then click Edit.
In the Application used to perform action box, you see the following text,
including the quotation marks:
"C:\PROGRA~1\INTERN~1\iexplore.exe" %1
In some cases, the "%1" may have been replaced by something else.
Save these settings, and then repeat the process for other URL protocol file
types.
Also if this does not work you may want to check if it will work with your
anti-virus off (but do not leave it off for long).
