There are multiple ways of resetting a specific browser as the default, but since you're running Windows XP I'll suggest going start->control panel->add/remove programs, select "set program access and defaults" from the left-hand column, expand "custom," and choose which ever browser you prefer. If shortcuts continue to open AOL Explorer, post back for information about resetting file extension associations.

It'd also like to suggest Trillian as a nice, free alternative to AOL, MSN, Yahoo, and ICQ chat programs. This client allows you to connect to multiple accounts and multiple services simultaneously, eliminating the need for multiple programs. Just a consideration for those growing ever more irritated with AOL's software, but still in the need for access to their services.

Hope this helps,
John