I don't know if it'd work, but you might want to visit your File Properties (you know, the dialog where you assign what program opens a file based on its extention?) According to mine (which displays files correctly), they should be set to:
Application to perform action:
"F:\Program Files\Internet Explorer\iexplore.exe" -nohome
Use DDE is checked
DDE Message: "file:%1",,-1,,,,,
Application: IExplore
Topic: WWW_OpenURL