Links open in whichever browser you have set as your default browser, so you can set all links to open in firefox, or all to open in IE (or whichever browser you want.)
You can't set a individual link to open in firefox and keep all the others opening in IE.
If you want to change your default browser to firefox, open firefox and click the menu drop down in the top left, select options > options, click on advanced and then on the general tab click the check now button and say yes when it asks you about being the default browser.