Outlook hyperlinks not working

I cannot click on a hyperlink in an Outlook 2010 message and have it open successfully. The message I get is: "windows cannot open this file to open this file windows needs to know what program you want to use to open it"

If I follow the prompts, click on InterNet Explorer, etc. they open successfully... Evidently, somehow or other, I've screwed up a setting somewhere, but I don't know where.