Correction: Internet Options, not Internet Connections
But you won't be able to change much there.
If you don't want IE to be your internet browser read on.
Go to the same place, start>control panel>internet options - then click on the "Programs" tab. Untick "Internet explorer should check to see whether it is the default browser" (or have this ticked if you want it as your default). After that go to the browser you want be the default browser.
For example, Mozilla or Netscape should be:
Go to EDIT>PREFERENCES
Expand "Advance" then click on "System"
There choose the appropriate file types you want to associate it with Mozilla or Netscape.
For Opera 6:
FILE>PREFERENCES
Select "Defauilt Browser"
and again check the appropriate file types you want.
Also check this site out for Netscape and IE.
http://www2.slac.stanford.edu/comp/winnt/faq/webbrowsers/defaultbrowser.htm
Have fun!