In your case it means links will automatically open in Internet Explorer (IE) and not some other browser such as Firfox or Chrome.
The sound will come out of the pc speakers, or headphones if you plug them in.
Anything you download will end up in the download folder, and not, for example, on the desktop.
Music you play will be played using the existing player software and not another of your choosing.
Videos will be played by whichever software is installed on your pc.
If you click an 'email' link on a website, a particular email client will automatically open (or web based email, whichever you use).