error message "application not found" when I click a desktop icon

Suddenly, when I click a desktop icon that leads to a web page I get an error message. The ones that lead to computer programs work.

The shortcuts in the tray and the links menu as well as the favorites I have stored also work. The only desktop icon that works is Internet Explorer. I believe I'm using IE7.

When I create a new icon it doesn't work either (same error message)