No, he couldn't find it on his either. Gonna do a malware check.,

Hmm. Malware scan turned up nothing. I will try to track down that "File Types" option. This is very strange.

It is, but I have seen it before.

If he right clicks on the folder instead - can you tell me which item is in bold?

Also - the file type thing is in a different location in Vista - my apologies...I've only just found it myself

Control Panel -> Default Programs -> Associate filetype or protocol with a program

Yeah, I found that new control panel option too ... but I couldn't find directories on the list, so I figured there was a secret option hidden somewhere else.

"Explore" is in bold when he right clicks on them.

Hmmm...
It might be an option to try a System Restore on it, to before it was happening...
It sounds like he might have installed / removed something that has messed it all up
Explore shouldn't be loading IE.