Will [link|http://vim.sourceforge.net/tips/tip.php?tip_id=190|this] do the trick? The method appears to add vim (or whatever) to the "edit with" menu button.
I tried this part just now and it worked for me. This was IE6 though (on w2k). It appears people have done this on earlier versions as well though.
; OPTIONAL: Within Internet Explorer "View Source" with gvim ; but prefer to use Edit button (got to add this) on Toolbar ;[HKEY_LOCAL_MACHINE\\SOFTWARE\\Microsoft\\Internet Explorer\\View Source Editor]
Note that both 'View Source Editor' and 'View Source' are keys and the path to vim is the default value of the later key. Also the double backslashes are not required when entering the value in regedit.
I closed all browser windows and opened one to test. I entered the items manually rather than merging it as a .reg file. Note that these lines in that sample .reg file are commented out.