it seems that either your internet explorer has been deleted or the
file association has been corrupted.
to determine whether internet explorer is still functioning: Go to My
documents, and in the address bar, type in
http://www.google.com, if
that navigates you to google then internet explorer is still installed
on your comptuer and your file association has probably been corrupted.
if this is the case, use this file assocation fix.
http://dougknox.com/xp/fileassoc/ie_desktop_icon.zip
if you are unable to navigate to the web page, go to start -> control
panel -> add/remove programs, and see if internet explorer is listed in
your add/remove programs (most likely it won't be unless it was
manually installed) if this is the case then on the left pane click
add/remove windows componenets, make sure that the box next to internet
explorer is CHECKED off.
afterwards i would run spyware/malware scans, because it is quite odd
if your computer just deleted/corrupted internet explorer
hope this helps