It was really bothering me that although I had Firefox set as my default web browser in Windows Vista, links from Yahoo! Messenger (such as "view user profile...") were still being opened by Internet Explorer. I did some searching and found the solution, but I also found a lot of bad information, so I thought I'd share the correct method here:
- Click the Start menu
- Click Default Programs
- Click “Set program access and computer deaults”
- Select Custom then click on the drop arrow
- Look for “Choose a default web browser” and select Mozilla Firefox
- Click OK
source: Windows Tip: How to Make Yahoo Messenger Use Firefox as Default Browser in Vista