If I were at your computer I could probably troubleshoot it and fix it but I'm not at your computer so here are a few suggestions that I hope will help:
Download the latest version of Firefox or the Mozilla suite, whichever one you use and try setting it to your default again. Firefox just released 2.0 recently. It's pretty snazzy. This update doesn't come through FF's auto updates. You have to manually download it.
If that doesn't work, try doing this:
Right click on Internet Explorer on your desktop and choose
Properties. This brings up the
Internet Properties dialog box. Select the
Programs tab. Then uncheck the box next to:
[ ] Internet Explorer should check to see whether it is the default browser
It could be that IE keeps overriding your preferred web browser setting. Unchecking that box should fix it. You may have to restart your computer for that change to take effect.