Web only opens if I try to install "Mozilla Firefox"

When I go to open up the internet explorer, a screen pops up that says "Open with..." and it gives me a list of options such as; Internet explorer (recommended), Adobe Reader, Notepad, Paint, RealPlayer, Windows Media Player, Windows Picture and Fax Viewer, and Wordpad. I tried opening it with internet explorer since it was recommended and it asks if i want to download the file. so i clicked "run" then again asks if i want to run it so i clicked "run" again. then the previous screen opens, the "Open with..." screen. nothing i try seems to be working. it wont open my windows messenger, i tried opening that up to see if it would go to the web when i tried checking my hotmail but the same "Open with.." screen pops up when i click into my messenger. then i thought maybe if i download Firefox and just eliminate the need for internet explorer. so i went into the start menu and went to search and typed in firefox and went through the folders until i found the "install" option. it says that windows cannot open this file, and it needs to go look up where the file came from to install it properly. as a picked option, it gives me "use the web service to find the appropriate program" or "select the program from the list". i left it on the first one and clicked "OK". it opened up the browser with no problem. this is the only way it will let me on the internet right now. so i tried going in to delete the internet explorer from the control panel. i clicked on add or remove programs, and it says "Application not found"
 
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