Excel 2007 Links going to IE instead of the file with the desired graphic

I have a file created in 2003 version in which I have links to graphics. When I open the file in 2007 version, the links try to search Internet Explorer and then I get an error message that the link cannot be found. I tried to relink and the same thing happens.

I have 2007 at home and had no problem. But when I came to the office (network version), the problem exists.

I believe it is a setting I have missing. Any suggestions?