In Windows XP/2000, select Folder Options in the Control Panel, then click on the File Types tab. Here, browse to the file type called (None) URL:MailTo Protocol and click Advanced. Select the open action and click Edit.
Fill all columns like this
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Action : open
App used : "C:\Program Files\Outlook Express\msimn.exe" /mailurl:%1
Check use DDE
DDE Message : blank
Application :msimn
DDE application Not Running : blank
Toipc:System
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Another solution would be to using standalone mail client Mozilla Thunderbird instead.