Internet explorer does not open a link from Outlook or other link from the desktop...

Hi!

I have a strange issue on one machine using Windows XP SP2 member of the
domain, user with admin rights and using IE7 now.

The problem is that user is not able to open any link from any application
or even links on the desktop - when it clicks it opens ALWAYS web IE7 with
default web page. Only after opening one internet explorer and leave it
there with home page it user can click on other links to open.

I tried to reset settings, and even tried to install other browser and make
a new browser default and then again force IE to become default. They are
using Sharepoint so it must get this thing to work.

Thank you for your time and your help,
Luka