|A) Start with the easiest and see if it works:|
IE->Tools->Internet Options->Programs Tab.
Click Reset web settings button.
B) Temporarily disable anti-virus/firewall/popup blockers and toolbars. If that solves the problem, isolate which program is causing it and change settings within that program.
C) One or more of the following DLLs might be improperly registered.
1. Quit all programs that are running.
2. Click Start, and then click Run.
3. Type regsvr32 urlmon.dll and then click OK.
4. When you receive the "DllRegisterServer in urlmon.dll succeeded" message, click OK.
5. Repeat, substituting each of these additional DLLs:
Shell32.dll (Windows XP and Windows 2000 only)
D) If that doesn't work:
For Windows version (Win 98/ME/2000/XP) - Download iefix:
It is a general purpose repair utility for Internet Explorer which repairs Internet Explorer by registering it's core DLL files. Additionally if it detects Windows 2000/XP as the Operating System, it runs SFC to restore missing or corrupt Windows system files.
Requires Microsoft VB6 runtimes for Windows 98/ME systems, if you don't have them, download here:
E) Start->Settings-> Folder Options->File types Tab
Locate each of the 4 file types listed below. Click Edit and click the Set Default button.
Also verify that each command line is correct:
URL:File Transfer Protocol "C:\Program Files\Internet Explorer\iexplore.exe"
URL:Gopher Protocol "C:\Program Files\Internet Explorer\iexplore.exe" -nohome
URL:HyperText Transfer Protocol "C:\Program Files\Internet Explorer\iexplore.exe" -nohome
URL:HyperText Transfer Protocol with Privacy "C:\Program Files\Internet Explorer\iexplore.exe" -nohome
If you made corrections to File Types, check to see if there is any difference.
If you still have the problem - also in those File Types, Use DDE may be checked. Try Unchecking it to see if that makes your links work.