This is a common bug, especially in Windows Vista when using Firefox as your default Web browser.
If you do not use Firefox, then you need to ensure that Internet Explorer is properly set to be your default browser.
If you do use Firefox, then a workaround is to simply have Firefox already open before clicking on a link from another program.
For a more semi-permanent fix, though, run the following commands at a command prompt:
reg delete HKCR\HTTP\shell\open\ddeexec /f
reg delete HKCR\HTTPS\shell\open\ddeexec /f
reg delete HKCR\FirefoxURL\shell\open\ddeexec /f
reg delete HKCR\FirefoxHTML\shell\open\ddeexec /f
NOTE: This fix may not be permanent & may get reset after certain Windows and/or Firefox updates are applied in the future.
For much more detailed information or guides, please refer to the following Mozilla (Firefox) Knowledge Base article:
http://kb.mozillazine.org/Windows_error_opening_Internet_shortcut_or_local_HTML_file_-_Firefox
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