I normally hate it when someone replies to a question here with 'Try googling it' but, on this occasion, I'm going to suggest exactly that (or, rather, I'll provide a link which does the job for you anyway):
http://lmgtfy.com/?q=mac+there+is+no+application+set+to+open+the+URL
That's because there are lots of similar threads there but I don't know which one (if any) will actually help you.
However, looking through them suggests that it's likely to be an error thrown up by a Safari extension. In particular, there's a suggestion that extensions which are designed to save Youtube videos (or similar) are likely to cause the problem. So, if you've got such an extension, try disabling/removing it.
(Please accept my apologies if this post simply wastes your time. I don't use a Mac, so I'm fumbling in the dark, but it seemed silly not to post a reply which
might possibly help you).