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By default, when you click on a link to a web page, Vista will automatically use the Internet Explorer.
If you want it to use some other program like Firefox
Go to the Control Panel \ Programs \ Default Programs
Click on Set your default programs
Select the vista Web Browser you want to use
Click on Choose defaults for this program
Under Protocols, check HTTP
Click on Save
You can also check .htm and .html as well
Now when you click on links in an e-mail for example, your other web browser will start.