Clicking on hyperlink opens my Documents folder

When I click on a hyperlink in a message it opens a dialog showing my computer folders (defaulting to My Documents). I don’t want to save it.
How can I get it to open the website instead?

Is the dialog window called Locate Link Browser? Point it to IEXPLORE.EXE and press OK.

You can find it in the following location;

• Windows 32-bit
  C:\Program Files\Internet Explorer
• Windows 64-bit
  C:\Program Files (x86)\Internet Explorer

If it continues to happen choose Start-> Control Panel-> Default Programs and Settings to reset Internet Explorer or FireFox (or any other browser that you prefer to use as default) as the default browser.