This depends on the Window Manager you are using. The two most popular are KDE and Gnome; most of the others like to keep things simple and don't implement features like file/URL association.
Basically, you want to associate anything ending in .html or of MIME type text/html with Mozilla
Under KDE, look at File Associations under the KDE control panel.
For GNOME, see http://www.linuxquestions.org/questi...hreadid=219212