When you click on an email link your web browser tries to open your default email program to send the email.
Depending on your version of Windows what you can do is to go into the Internet Explorer settings by clicking on Tools and then Internet Options. Then go to the Programs tab and see if your email program is listed under the email section. If your email program isn't listed there or you use webmail like Yaooo or AOL then it may be a bit more difficult to set this up. Depending on what you use for email will determine how hard it is to have IE use it for its default. In newer versions of Windows you can change your default email client from Default Programs in Control Panel.
A way around this is to highlight the email address from the link on the web page and then right click it and pick copy. Then paste it into your email program and send it from there.