Web browsers generally can't open OneNote pages in the browser. OneNote
files are in a format that browsers aren't designed to read directly.
If you just want to open OneNote when you open your web browser, then you
can find the filename for your OneNote notebook on your computer (it should
end with .one) and copy it into the Homepage field in Tools / Internet
Options.
Another option: sign up for Office Live Workspace at
http://workspace.officelive.com/. Then, copy your OneNote documents into
your workspace, and make your workspace your homepage.