You were not really helpful with "any application", but I've tried to find an application in which I could open an URL. I've tested the "Get Help Online..." option from the Help menu, which confirmed that URLs are opened in new windows.
Using my imagination, I watched new commands coming by executing:
while : ;do ps x -o ags | head -6 | tail -3; sleep .5;echo '___'; done
After executing this, I quickly pressed the previously mentioned "Get Help Online..." menu option. As the command appears, I escape from the command by pressing Ctrl + C (interrupt). The command is a python call. The relevant file for opening the URL is:
By analyzing that file, I conclude that a new Firefox window is forced if the application to be run is
firefox %s (determined by
gconftool-2). To change this behavior, set the key
To do so, open a terminal and execute:
gconftool-2 --set /desktop/gnome/url-handlers/http/command --type string 'firefox %u'
For a GUI way, see How do I use the gconf editor?