The link will open with your default browser. AFAIK if you just have one link you want to open with IE, you have to just add it as a favourite in IE and then open IE. Or just copy and paste the URL into IE of course.
I dont think there's a way to specify which browser will use the link, not in a 'right click - open with' fashion anyway. There may be a registry hack (or 3rd party software) to add this option to the shell - you can do pretty much anything if you know how.