This is an old thread, but was giving me trouble on some Windows 7 devices.
Here is a working GPO for Windows 7 devices.
Thanks to Aravinda above for getting me pointed in the right direction.
Right Click and select New Registry Item
Key Path: Software\Microsoft\Windows\Shell\Associations\UrlAssociations\http\UserChoice
Value name: ProgID
Value Type: REG_SZ
Value Data: IE.HTTP
Do this a second time, but change the key path to:
Change Value Data to: IE.HTTPS