System Settings → Desktop & Dock, scroll to Default web browser and pick from the menu. Every installed browser is listed. A browser also asks on its first launch, and Safari stops asking once another is chosen.
The rest of Windows' Default Apps page is spread out:
- Email: open the Mail app once → Mail → Settings → General → Default email reader. Choosing Outlook or another client there routes every mailto link.
- A file type: select a file of that kind in Finder, ⌘I, Open with → choose the app → Change All…. That is the "always open with" of the Windows dialog.
- One file, once: right-click → Open With.
- Calendar and contacts: inside Calendar → Settings → General and Contacts → Settings → General.
Links inside a browser you are not using open in the default browser, not in the one you are reading in; the Windows "open in this browser" behaviour is the same.