Dragging a bookmark to my desktop reopens using Internet Explorer, Why?

After downloading Mozilla Firefox, I bookmark websites such as Redbox, yahoo etc. Then I drag them to my desktop so I can open them later. When I go to open them, they open using Internet Explorer instead of Mozilla. It must be in my computer somewhere to use Internet Explorer when opening things but I don't know where to look or how to change things so they open using Mozilla only. Am I making sense? I've been having trouble with Internet Explorer giving me a windows API error and I can't get rid of it. Please let me know if you can help. Thanks, Mike