You're on Windows IIRC? Otherwise my advice will make little sense.
Could it be an ftype/assoc issue? If the file type is associated with another program, the browser(s) may be using that as a hint for how to open / display.
You used to be able to access this graphically from Explorer, Tools->Folder Options, but now may also be in Control Panel, Default Programs->Associate a file type of protocol with a program.
As others pointed out, the browser itself may have preferences for helper programs configured, but if it's happening across 3 different browsers, I'm thinking something underlying them - i.e., the operating system.
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