This is a surprisingly common question for Windows users, and suggests that the Internet configuration is still a bit more complex than it should be. Fortunately, it's not terribly difficult to fix this problem.
Start up Internet Explorer, then go to Tools --> Internet Options, then click on the Programs tab. You'll see:
Notice the option at the bottom?
"Internet Explorer should check to see whether it is the default browser"
That's what you want. Check that, click "Apply", then quit out of Internet Explorer completely.
If you're lucky, when you restart the browser it'll ask you if you want to switch and have MSIE as the default browser for your computer, but I found that I had to actually reboot the compute entirely for the following option to pop up:
That'll give you the ability to fix what ails your computer and set thing so that the default browser for your shortcuts is Internet Explorer.
Hope that gets you going!
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Alternatively of course, you could get a better browser than either of the above from www.opera.com - especially now the full featured version is free of charge and free of adverts.