OK Smee, firstly - open up My Computer.
Click Tools > Folder Options > File Types
Not too far from the top you'll see the entry Extensions: (NONE), File Types: Internet Shortcut - Highlight this by clicking on it once, then click on Advanced.
In this next window, highlight Open by clicking on it once and click Edit. In the "Application used to perform action" field, enter the following including the quote marks: "C:\Program Files\Mozilla Firefox\firefox.exe" (or point it to where-ever your Firefox.exe is - I've given the default location there) Click OK once this is in place, then Click Apply and OK.
Any links should now open in Firefox, not just from WLM, but any program at all.