From MozillaZine Knowledge Base

Windows

To set the default Internet programs on your Windows operating system, access the Control Panel and go to "Internet Options". From there, go to the "Programs" tab and you can set the default handlers for HTML editing, e-mail, newsgroups, Internet calls, the calender, and contact lists.

Linux

(please add)

Mac OS X

You can use Monkeyfood's More Internet PreferencePane. Look for news and nntp in the list of protocols. If they are there, click "Change". If not, click "Add...". You will end up in a standard File Dialog. Select Thunderbird.

You can also use Classic's Internet control panel to set this.