1. Open the Internet Options. Either from the Start Menu or From IE

Here is the Dialog box

The first section on the first Tab ( General Tab ) it the Home Page section.
Here you can do 4 things

1. Type in a specific page address ( notice I have www.google.com in the text box above)
2. Use the current page you are visiting at the time, like a cool page that has a url as long as your arm and you dont want to even try to type it in.
3. Use the Default Page. ( Which is www.msn.com ...surprise! surprise! :-\ )
4. Use a Blank page. Why?... I dont know but its there.

By Using these you can set your own Home page , not the one Microsoft or your ISP want you to see.