I have the same problem (Windows XP SP3, IE8, Excel 2003 SP3). Click on a link and the Print dialogue appears. Click Cancel and IE navigates to the web page. It seems that IE/Excel is using 'Print Target' for the default action of clicking on a link, instead of 'Open'. If you right-click on a link these are amongst the options in the context menu. No idea why it happens or what the proper fix is, but a workaround is:
Private Sub Workbook_BeforePrint(Cancel As Boolean)
If ActiveSheet.Name = "Sheet1" Then Cancel = True
where Sheet1 is the name of the sheet containing the web browser.
The problem doesn't occur with a Web Browser control embedded in a Word document, so it looks like a bug with IE/Excel interaction.