It's not going to cause you any problems but if it annoys you than I can think of a couple of things that may work.
1) Try making sure that .html files are associated with IE. Right click on the file and choose "open with"> "choose program" > "choose IE" > check the box that says "always use the selected program to open this type of file".
If that doesn't work, try this.
2) Open up a folder that contains some .html files. From the menu choose > tools > folder options > file types > scroll down to .htm & .html > select .htm > hit the advanced tab > change icon, you should be given a choice of icons including IE > hit ok, then ok again, hit apply and do the same for .html.
I hope this helps ya.