The path appears to be correct. You can verify it by right-clicking and selecting Properties on Outlook Explorer shortcut in the Programs menu of the Start menu...
When you set up the new mailto default and select OK, does the change get reflected on the menu... ie, First, on the list, you will see Protocol mailto and Program Opera... Then, you select the entry and go to edit. Here, you select "Open with another application" and then enter the path in the text box (enter the full path with quotes). After you press Ok here, when you see the main preferences dialog, this change should be reflected on the menu... (for protocol mailto, the program should now read the path of Outlook Express...
BTW, I just went through the above process myself, so it should work for you to...
EDIT: Just checked, and noticed that you had entered mismn.exe instead of msimn.exe - could you have done the same on the computer?
Arun