If you see this error on a RDS or Citrix published application, Session host/XenApp server is messed up with file associations. I was trying to open a link to a site in RDS session. That means Internet Explorer is not default program to handle the links or HTM/HTML files.
Solution: Remote Desktop to the Session host or XenApp server and go to Control Panel –> Default Programs. Find Internet Explorer and click on Set this program as default.
If you are trying to open something else (e.g., PDF), verify the correct program is set to default to open the file or you can check file associations (by check Properties of the PDF file).