Thank you, Anti Trust settlement...
If you use Windows XP, there is a patch which will let you use your own browser (say, Opera) instead of IE in a few more places.
Read Microsoft Knowledge Base Article - 810565: Hyperlinks Open in Internet Explorer Instead of in Default Browser or Help and Support Center for more details.
For me this was useful only because it lets me put web items on my desktop (such as SearchMe Sidebar) and have access to them whenever I want, and have it open the results page in Opera.
Of course the cynical side of me would point out that they only released this patch for Windows XP, and I'm sure only because they felt some pressure to do so. So by giving in this tiny little bit (for something that should have always worked this way to begin with) they now have another "feature" to use when trying to sell XP.
That is all.