The problem on the older of Symbian is the lack of support to change default web browser to other applications. But on the latest Symbian^3 devices, much more on the released Nokia N8 and C7, you can now tweak the settings of your default web browser and media player to your preferred one. So whenever you open a link or play media files it will easily use the selected applications instead.
UPDATE: Latest S60v5 FW updates gives support to changing your phone’s media and web apps. (Thanks for L for the heads up)
For Symbian^3 Go to Settings>>Application Settings>>Default Applications>>Select your preferred and installed applications
For Symbian^1 Settings>>Phone>>App Set.