No matter how many times I tell my NS4G that I want Opera as my default browser, it won't "stick" and keeps asking me which browser I want when I click the link. Is this a bug or is there some setting I missed?
I've noticed the same thing on virtually every file/application association: browser, market link, images, documents, PDFs, et cetera. As this is my first Android phone I'm not certain if this is just something broken in Android as a whole, or just with the NS4G.
Since it's happening to you, too, then I can finally rule out being personally cursed. :-)
Search the android market for an application that allows you to change the default settings on your phone. I recommend 'default app manager' because i use it on my nexus and works well with the stock android settings that can change defaults.
I have the epic 4g and it has gingerbread and it is doing the same when trying to select Dolphin HD. It never logs dolphin as the default browser. I have asked dolphin support and they give me the path that should assign it, but it never remembers what I assigned.