Internet Explorer: links don't open whenh clicked

In internet explorer if I click on a link on a web page, it will not open. I can right click, save target as, sometimes that will work. Can you tell me what has happened? Some sites' links work, some don't.
I have winXP, sp2 downloaded, but not installed. I have zone alarm firewall, makes no diff. whether enabled or disabled.

 

Try the steps on this page. Scroll down a little to the "regsvr32" commands and run them first, They often fix the problem without having to do the editing in File Types.

 

The "meat" of the link miz furnished is:

Quit all programs that are running.
Click Start, and then click Run.
Type regsvr32 urlmon.dll, and then click OK.
When you receive the "DllRegisterServer in urlmon.dll succeeded" message, click OK.
If this does not resolve the problem, repeat steps 2 through 4 for each of the following files (in step 3, replace Urlmon.dll with each of the file names below):
Shdocvw.dll
Msjava.dll
Actxprxy.dll
Oleaut32.dll
Mshtml.dll
Browseui.dll
Shell32.dll

Good luck!

 

Thank you Surferdude2

Oh my gosh, I think it worked !! Earlier attempts had it working part-time.
Now seems fine. Hope it lasts. And, I sure appreciate your clear explanation.