My browser of choice is Opera. It's my default internet browser. I've associated with it both HTML documents, URL shortcuts, HTTP(S)/FTP protocols. Yet, some links get open in new IE windows instead of Opera's ones...
For example, go to (inside internal browser):
and click on any search result link... it will open in new IE (!) window regardless of your default browser (Opera/Firefox/Maxthon)...
I'm not sure, but I think it might be a problem of this embedded IE control...
I'm not an exprert, but in applications (not competitive) like FeedDemon (http://www.newsgator.com/NGOLProduct.aspx?ProdID=FeedDemon) or WebResearch (http://www.macropool.com/en/download/webresearch/professional/index.html) that both use IE browser control, clicking on a link inside their internal browsers opens default system browser (i.e. Opera, in my case).
But, it's only an observation... I'm not pushing anyone...