When you run the “Connect to the Internet” Wizard and select the “Browse the Internet now” option, Internet Explorer starts instead of the default Web browser that you set in Windows Vista or in Windows Server 2008
On a Windows Vista-based computer or on a Windows Server 2008-based computer, you install a third-party Web browser. You set the third-party Web browser as the default Web browser. Then, you run the Connect to the Internet Wizard. However, if you select the Browse the Internet now option, Windows Internet Explorer starts instead of the third-party Web browser that you set as the default Web browser.
For more information on this issue, including potential causes, workarounds, and resolutions, see: Microsoft KB Article KB959130.