Most probably is because of error in the file type
settings.
1. Open "Control Panel"
2. Open "Folder Options"
3. Select "File Types" tab
4. Locate "URL Internet Shortcut"
5. Click "Advanced" button
6. Click "Edit" button
Make sure the settings are as follows
Application used to perform action:
"C:\PROGRAM FILES\INTERNET EXPLORER\iexplore.exe"
-nohome
Use DDE:
The box is checked
DDE Message:
"%1",,-1,0,,,,
Application:
IExplore
DDE Application Not Running:
It should be empty
Topic:
WWW_OpenURL
Click "OK"
Repeat for "URL Gopher" (if exists)
Click "OK" until the windows are closed
Restart your computer