This is a standard behaviour.

It is mainly due to Microsoft security policies for Windows 2000 and XP. When the end user clicks on a web link displayed in your Flash screensaver, Flash automatically launches the default web browser on the corresponding web page. For security reasons, neither Windows 2000 nor Windows XP allows a screensaver to open a new Application Window or even a dialog box Window.

This is the reason why you can see the Web browser starting and closing immediately. There is currently no workaround for this problem on Windows 2000 and Windows XP.