I've been having this problem too.
Haven't managed to fix it yet, but here are some of the things I've
tried:

1.  Check file associations
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:
application:
"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:
#1:
"%1",,-1,0,,,,
#2
IExplore
#3 (blank)
#4
WWW_OpenURL
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.

2.  Re-register urlmon
go to Start | Run and type
regsvr32 urlmon.dll

3.  Correct path entries in registry
I used regfind to convert 8.3 paths to long filenames
regfind "C:\PROGRA~1\INTERN~1\iexplore.exe" -m \\<hostname> -r
"C:\Program Files\Internet Explorer\iexplore.exe"

4.  Run an IE Repair
go to Start | Run and type
rundll32 setupwbv,IE6Maintenance

You could also check out the MS article on this:
http://support.microsoft.com/default.aspx?scid=kb;en-us;257464

Please post back if anyone can add anything to this