New versions of Gnus use the browse-url package when you click a URL
   button. See the question on changing your default browser to alter its
   behavior.
   
   If you want something a bit faster, get Jamie Zawinsky's
   netscape-remote program, found at
   <URL:http://home.netscape.com/newsref/std/remote.c>. You then need to
   tell browse-url to use this instead of netscape:
(setq browse-url-browser-program "netscape-remote")

   For those using NT, Harald Backer <harald.backer@fou.telenor.no>
   supplies his setup:
(setq browse-url-browser-function
      ;; No window system at build time, ie.  site-start.el, ~/.emacs
      ;; or ~/.gnus
      (if window-system
          (if (eq system-type 'windows-nt)
              'shell-execute-url
            'browse-url-netscape)          ; or browse-url-mosaic
        'browse-url-w3))

(defun shell-execute-url (url &optional new-window)
  "Invoke the shell-execute-helper program to call ShellExecute and launch
or re-direct a web browser on the specified url."
  (interactive "sURL: ")
  (call-process shell-execute-helper nil nil nil url))

Also see <URL:http://www.cs.washington.edu/homes/voelker/ntemacs.html>
for shell-execute-helper and other NT related stuff.