From the Doc:
Question 9 - On Windows Web Development Clients the browser that is launched is Internet Explorer, not Firefox or Chrome, which is set as the default browser. How can this be changed?
At this point the local web client is hard coded to run Internet Explorer. There is no option to change the default browser from Internet Explorer to another browser.
An Enhancement request has already been entered for this: Bug 17985427 : DEFAULT BROWSER ON WEB DEVELOPMENT CLIENT. This is not considered a BUG, but rather an enhancement.
As a workaround, you can copy the link from Internet Explorer and paste it into any other web browser.