For example, I can open internalurl.com/sharepoint/ in Internet Explorer while opening other urls in my default browser? I’m using Windows XP.
Try the IE-View plugin for Firefox. It lets you specify URLs that should be opened with IE.
Try Browser Chooser.
It lets you select with which browser the links from external programs (including Explorer, managing the Desktop) should be opened.
There is an option to always open intranet URLs with a specific browser (IE in your case, for SharePoint).
The only way you could do this would be to create individual shortcuts to the links that you didn’t want to open in your default browser. And even then, it would only work when you click on those shortcuts to open them.