  I ended up doing part of the suggestions found on the urlLink Crackbaby.com article. The part I did was to make all my applications call Firefox instead of IE.
So now, when I click on a hyperlink inside of an MSN chat window, the URL opens in Firefox instead of IE. The method is pretty simple. Here are the instructions for disabling IE. Do a search through the registry for 'iexplore.exe' and 'url.dll'. Replacing HKEY_CLASSES_ROOT instances of these two with the path to your alternative browser seems to do the trick.
I now have all my other Microsoft apps that would normally call IE, now calling Firefox. For instance, I have Mozilla Firefox as my alternate browser so I replace with the following: open/command -> C:PROGRA~1MOZILL~1FIREFOX.EXE -url "%1" DefaultIcon -> C:PROGRA~1MOZILL~1FIREFOX.EXE,1 It seems to have worked for me. Give it a try. Don't forget to back up your registry before editing it. You might have to restore it if all goes badly. 
