try:
Start, Run...
regsvr32 urlmon.dll
Failing that,
IE > Tools > Internet Options > Programs tab > Reset Web Settings
Failing that,
download Dial-a-fix and click the 'Fix IE' button.
And as a last resort, carefully read this:
http://support.microsoft.com/default.aspx?...kb;en-us;256953
It is about another subject, but you can use it to verify that the settings for the URL file type is correct. If using Windows XP, read the Windows 2000 section.