Use a file shortcut instead of an internet shortcut.
1. Create a shortcut to C:\Program Files\Internet Explorer\iexplore.exe.
2. Open the properties and add a space and the website to the target.
("C:\Program Files\Internet Explorer\iexplore.exe" http://www.google.co.in)
3. Once in IE the internet shortcuts in favorites or on the links bar will ignore the default browser and opens in IE as well.
Reference:
http://forum.worldstart.com/showthread.php?t=111659