That's because many applications take advantage of a lazy way of launching a web page in windows...
They simply call
"explorer.exe http://webpage.address.com".
Explorer.exe is the windows shell and file management program and it looks at the "file" it's told to open (which in this case was actually the web page we gave it) and it decides which application to use. You would think that it should pick your default application for opening web pages, but that would be silly of you

! No, instead it uses Microsoft's own Internet Explorer! Thanks MS!
One thing you can try (which I have not tested) is the "Set Program Access and Defaults" application.
If you don't have a link to this somewhere in your Start Menu, you can open the Add/Remove Programs and it should the 4th button on the left. From there you can control a few default application settings that you can't really find anywhere else.