From http://www.fjsmjs.com/OE/nolinks.htm

1. Click Start, and then click Run.

2. In the Open box, type:

regsvr32 urlmon.dll

3. Click OK, and then click OK again when you receive the following message:

                     DllRegisterServer in urlmon.dll succeeded.

4. If that doesn't fix it, see this article:

http://www.mvps.org/inetexplorer/answers.htm#new_window

5.  If you are using WinXP try this:
http://www.mvps.org/sramesh2k/reg/IE_Default_Browser.reg

You can also try this:

Go to Start/run, and type SFC (msconfig for WinXP).
Choose 'Extract One File From Installation Disk' ("Expand File" for WinXP).
Type oleaut32.dll, not worrying about its location. Then, click Start.

Next to 'Restore From', type in or browse for the file's location, which is
probably in the Win98 (i386 for WinXP) folder of your installation CD-ROM
(typically D:\Win98), or in your Windows\Options\Cabs (Windows\i386 for
WinXP) folder, as the case may be.

Then, next to 'Save File In', enter C:\Windows\System (C:\Windows\System32
for WinXP), and click OK. System File Checker (or msconfig) looks for the
file, saves it as you requested, and then tells you that 'the file has been
successfully extracted'.

You may need to reboot.