
It appears that IE is the default browser. I even tried to set FireFox as default browser and then reset IE as default, but that didn't help either.
Thanks to http://developer.spikesource.com/wiki/index.php/Sharepoint_Central_Administration_keeps_using_firefox, I found the fix.
It appears that the "set as default browser" action doesn't reset the shell class in this registry location:
HKEY_CLASSES_ROOT\http\shell\open\command

After set it to use IE, Sharepoint Central Administration launches in IE properly.

