Another answer due to some clarifications below.
As you said, you can create a little script and set it as your default browser in your KDE settings. To make these things in the easiest way possible, you should simply send the firefox command to your host machine over SSH. Here's a link describing how to setup a SSH server on Windows 7, http://codeoptimism.com/2010/10/08/SSH-on-Windows-7-the-full-awesome-implementation
Then the script would be as simple as that (don't forget to allow execution) :
ssh [email protected] '/c/Program\ Files/Mozilla\ Firefox/firefox.exe $1'
Run this command before using it as your default web browser, as you would have to add the machine in your known hosts list. You will have to set up a public key authentication too, so it doesn't prompt the password.
KDE4 shoud let you specify the script's path to be run each time you click on a link.