Go to View | Folder Options | File Types in Windows Explorer and check the values for URL:Hypertext Transfer Protocol (click edit, open, edit). The values should read:
"C:\PROGRAM FILES\INTERNET EXPLORER\iexplore.exe" -nohome
(Check the path to iexplore.exe to make sure that is correct)
DDE should be checked and in the boxes below it you should have:
NOTE: The above applies to Win9x. For WinMe, Win2000, and WinXP, use Tools | Folder Options or Control Panel | Folder Options to access the file types. Then edit the OPEN action for the file type. The actual values specified above are the same for each Operating System.
If you find that the above process is set correctly, and you still have problems, then go to Start | Run and type
and see if that fixes the problem.