Caprivi,
Should have worked. In your Control Panel Internet settings, look to see if IE is stealing focus.
Another possibility is to use a 3rd party utility to set your browser preference.
One such is : SetBrowser 1.4
http://www.pc-tools.net/win32/setbrowser/
As it says, a last resort application. Works for me when I change between IE and K-Meleon. I just answer the query in SetBrowser to set it up for Netscape and then give it the exact location of K-Meleon. At that point, SetBrowser says that K-meleon.exe is the default browser and it works for me.
N