Windows cannot find this site

Error
When opening an internet shortcut from your desktop, you get the following error:

Windows cannot find "". Make sure you typed the name correctly, and then try again. To search for a file, click the Start button, and then click Search.

Note: This issue appeared when I set Firefox as my default browser

Fix
Delete the following registry keys:

1. HKEY_CLASSES_ROOT\HTTP\shell\open\ddeexec
2. HKEY_CLASSES_ROOT\HTTPS\shell\open\ddeexec
3. HKEY_CLASSES_ROOT\FirefoxHTML\shell\open\ddeexec
4. HKEY_CLASSES_ROOT\FirefoxURL\shell\open\ddeexec

This fix was documented in the Firefox Knowledge Base.