Open Internet Explorer > Tools > Options > Programs and enable the option:
"Internet Explorer should check to see whether it is the default browser"
Close IE and open again. Click YES if you are prompted to set it as default
browser.
NOTE: For Windows 2000/XP Login as Administrator and try the above steps.
(or)
For WinXP only: Download the .reg fix.
Sets Internet Explorer as default browser: http://windowsxp.mvps.org/reg/IE_Default_Browser.reg