Batch, 18 bytes

Saved 3 bytes thanks to Mego.

start www.ppcg.lol

This will open in your default browser if you run it from the windows command line.

I think it'll work in Powershell too, but I'm not sure.

Oration, 42 bytes

Not winning, but sure was fun. :P I am almost beating python though, :D

I need webbrowser
Now open "http:ppcg.lol"

I need compiles to import $1 with webbrowser being the module.

Now runs the following command from the module as module.command with the arguments of anything following.

So this compiles to:

#!/usr/bin/env python3
import webbrowser
webbrowser.open("http:ppcg.lol")

I do end up needing the http:// part though, and it can't be shortened.

The code being the same as an earlier revision of @Skyler's answer is a coincidence.

This is the shortest possible Oration code, and I never saw the earlier revision for his answer. The only thing I did was upvote it when it had the "import *" part.

PowerShell, 17 Bytes

saps www.ppcg.lol 

While start is a known alias for Start-Process there is another one for saps. You can see this from Get-Alias. It follows the convention for similar Start- and Stop- cmdlets.

Terminal (OSX), 20 18 bytes

open http:ppcg.lol

Saved 2 thanks to CoolestVeto

MATLAB, 28 25 bytes

web www.ppcg.lol -browser

• www is shorter than http:// and ensures that the address is processed as a URL
• This is shorter using the implicit function call (which casts inputs as strings) rather than the explicit version web('www.ppcg.lol', '-browser').
• If you are on a OS X, this can be simplified to web ppcg.lol -browser as MATLAB will automatically append an http:// (21 bytes)

Alternatives:

• On windows this can be shortened to (19 bytes)

  !start www.ppcg.lol
  

• On OS X (21 bytes)

  !open http://ppcg.lol
  

• The following would work in a deployed MATLAB application (16 bytes)

  web www.ppcg.lol
  

• If the built-in browser could be used this could be reduced even further as http is implied (12 bytes)

  web ppcg.lol
  

 GNU Emacs, 29 27 15 bytes

(eww"ppcg.lol")

EWW is a browser inside Emacs. The browse-web function is an alias for eww, and so that makes eww the default browser in Emacs:

Your job is to open a browser window of the default browser to http://codegolf.stackexchange.com.

(thanks to CoolestVeto and Jonathan Leech-Pepin)

Bash, 24 22 bytes

xdg-open http:ppcg.lol

Not as short as some others. firefox ppcg.lol is shorter, but it doesn't meet question spec.

AutoHotKey, 16 bytes

Run www.ppcg.lol

Python, 52 48 47 45

Shamelessly borrowing that shortened link.

from webbrowser import*;open("http:ppcg.lol")

Thanks to CrazyPython for -4 bytes, and Sp3000 for a further one.

Edit: shaved 2 more off thanks to CoolestVeto

Java 7, 118 bytes

class P{public static void main(String[]a)throws Exception{java.awt.Desktop.getDesktop().browse(new java.net.URI("http://ppcg.lol"));}}

Java is not the best language for golfing... Here's the same program in a more readable format:

class P {
    public static void main (String[] a) throws Exception {
        java.awt.Desktop.getDesktop().browse(new java.new.URI("http://ppcg.lol"));
    }
}

JavaScript, 34 bytes

require('open')('http://ppcg.lol')

Uses Node.js

R, 26 bytes

shell.exec("www.ppcg.lol")

I don't know of any shorter way to do this in R.

Racket, 41 bytes

(require net/sendurl)(send-url"ppcg.lol")

Java 8, 115 bytes

interface P{static void main(String[]a)throws Exception{java.awt.Desktop.getDesktop().browse(new java.net.URI("http://ppcg.lol"));}}

Java is not the best language for golfing... Here's the same program in a more readable format:

interface P {
    static void main (String[] a) throws Exception {
        java.awt.Desktop.getDesktop().browse(new java.net.URI("http://ppcg.lol"));
    }
}

Mathematica, 28 bytes

SystemOpen@"http://ppcg.lol"

Pylongolf, 11 bytes (Non-Competing)

"ppcg.lol"p

Pushes ppcg.lol into the stack then p opens it.

Applescript, 28

• 3 bytes saved thanks to @CoolestVeto.

open location"http:ppcg.lol"

Actionscript 3, 117 bytes

package{import flash.display.Sprite;public class A extends Sprite{function A(){navigateToUrl("ppcg.lol","_blank")}}}

Like Java, this is not a great golfing language. Here's the code with formatting:

package
{
    import flash.display.Sprite;

    public class A extends Sprite
    {
        function A()
        {
            navigateToUrl("ppcg.lol", "_blank")
        }
    }
}

C#, 33 bytes

Process.Start("http://ppcg.lol");

Opens the default browser to the web address

VBScript, 57 bytes

I used to have lots of fun creating tiny programs in VBScript, back in 2010.

I've remembered this language and used the code on: http://stackoverflow.com/a/13401872/2729937

It still works on Windows 7, at least.

set S=CreateObject("WScript.Shell")
S.run("www.ppcg.lol")

This is a bit different from the usual start www.ppcg.lol, in the sense that it executes the www.ppcg.lol directly, with an implicit start.

An alternative way would be "cmd.exe /C start www.ppcg.lol".

Ruby, 22 20 bytes

`open http:ppcg.lol`

Simple.

Thanks to Daniel for 2 bytes off.

VB.NET, 32 30 bytes

Process.Start("http:ppcg.lol")

Dyalog APL, 21 bytes

]Open http://ppcg.lol

Uses the User Command ]Open, which is installed with Dyalog.

Factor, 38 36 bytes (noncompeting)

Don't know what leaving off wait-for-process does.

"xdg-open http:ppcg.lol" run-process

Only works on systems with Xorg / xdg-open such as any Linux, and Windows with MinGW. It'll work on Mac OSX if you install X.

I didn't know one could golf-off the // in the protocol.

I also didn't know this was a "copy" of the bash answer. Never mind...

Perl 5, 66 bytes

Should work everywhere, but needs that import :(

use Browser::Open open_browser;open_browser("http://www.ppcg.lol")

Also, for funsies :

Perl 5 (Windows), 34 bytes

system "start http://www.ppcg.lol"

Perl 5 (Unix), 31 bytes

system "xdg-open http:ppcg.lol"

NodeJS, 53 bytes

require('child_process').exec('open http://ppcg.lol')

Works on mac.

05AB1E, 16 bytes (non-competing)

Non-competing, since the features used here postdate the challenge. Code:

’…Ò ™³.ÐÏg.´¢’.E

You can try the string online here. This basically evaluates to this batch answer.

Uses the CP1252 encoding.

PHP, 33 bytes

<?php exec("open http:ppcg.lol");

R, 28 bytes

browseURL("http://ppcg.lol")

(in utils package)

Python, 43 41 bytes

import os
os.system("open http:ppcg.lol")

-2 bytes thanks to @Quill.