Is your email program set up as default? Is it properly set up as the "helper" program for email in your browser? Assuming IE (since you neglected that bit of information), go to Tools>Internet Options>Programs>E-Mail and you should be able to pick your email application (my drop down box only includes hotmail, outlook, and outlook express -- i don't have other email applications installed and again, I don't know what you're using).
Also, try having your email application open when trying to click on a link to send email from a webpage.
~Ladi