This has happened randomly in every version since 7, and i know i have the latest version of WLM.
In brief, when you click a link, nothing happens. no matter how many times you do it or where you click it, it wont open the browser.
Since a picture tells 1000 words or whatever, then a video tells 1000 pictures i guess you could say. So
here is a tiny clip of it happening. Needs flash player.