open Windows Explorer / Tools / Folder Options / File Types
Search for the extension URL. If it's not there, click add new, type URL in the extension box, click advanced and choose the file type to: Internet Shortcut.
If it is there and the filetype is not internet shortcut - try to delete it and recreate again.
Lukas.
PS.: this applies to WinXP, in other systems the menus are organized a little differently, but should give you the clue.