This is for Windows XP but I guess it works the same for Windows Vista, 7 and 8.
The easiest way to set IE as your default browser is to open it. It will ask if you want to set IE as the default browser.
Another way:
Start > Conrol Panel > Set Program Access and Defaults > select “Custom”, pick Internet Explorer and hit the “Ok” button.
If it doesn’t work, what you can do is to reinstall Internet Explorer and when you first run it, it will ask if you want to set it as the default browser.
It takes more time but it will fix your issue.