Lindette,
I had this problem and I found that it was one of the apps that I had installed that was causing the problem, once I removed the app, my problem was fixed. In my case it was the Kohl's app.
Here is my approach to solving this:
1) I used Carbon App Backup by Clockworkmod to backup any app data that I wanted to save (have to activate by connecting to PC).
2) I created a new home screen and put shortcuts to everything I needed to test this, it was easier with everything in one place.
3) Since it was a browser related issue, I figured that the offending app most likely would have browser like content, such as shooping apps, news apps, forum apps (yes, I tested the Android Central Forum app), etc.
4) Uninstall a suspect app
5) Test setting default browser with a link, then test the link again to see if the setting took.
6) If that did not fix the problem, go to the next suspect app and try it.
This is a tidious process,
but to some people (me) it was worth it.
Here is another forum post on the same subject:
http://forums.androidcentral.com/sa...will-not-default-where-i-ask.html#post2587663