Try setting IE as the default application for the HTTP. HTTPS and FTP protocols in "'Set Program access and computer defaults" in Control Panel\All Control Panel Items\Default Programs under 'Assiciate a filetype or protocol with a program'.
Hmm... Try setting them to IE again, even if they show IE already. If that does not work, open Registry and go to HKEY_CLASSES_ROOT>.html. In the right-hand pane, Make sure the data for (Default) is set to 'htmlfile' (without quotes). Repeat for .htm as well.