This usually means that your computer has lost its association for http links.  Here are a couple of options to try and fix this.

For Windows XP and earlier:

1. Run Windows Explorer (*not* Internet Explorer)
2. Click "Tools > Folder options" on the menu
3. Click the "File types" tab
4. Scroll down and highlight URL:Hyper Text Transfer Protocol (the extension will say (NONE) ).
5. Click the "Advanced" button, highlight "open" in the list and clickthe "Edit" button.
6. Set Explorer as the application used to perform action. Here are the settings which seem to work:
   • Application used to perform action is: "C:\Program Files\Internet Explorer\iexplore.exe" -nohome
   • Use DDE is checked
   • DDE message is: "%1",,-1,0,,,,
   • Application is: IExplore
   • Topic is: WWW_OpenURL

For Windows Vista and Windows 7:

1. Click Start on the Vista taskbar, then open the control panel
2. Click on "Programs"
3. Click on "Default programs"
4. Click on "Associate a file type or protocol w/ a program" (this can take a while to come up)
5. Scroll down to HTTP (it will be near the bottom of the list)
6. Edit that item and make sure there is a browser (like IE or Firefox) selected

Another option that should work in any version of Windows:

1. Run Internet Explorer
2. Choose Tools from the menu
3. Then Internet Options
4. Then the Programs tab
5. Check "Internet Explorer should check to see whether it's the default"
6. Click OK and exit from Explorer
7. Restart Explorer and when it asks if it should be the default tell it yes