From MozillaZine Knowledge Base

Why doesn't clicking an email link open my default mail client, such as Outlook Express?

The Mozilla Suite is an integrated suite of applications designed to be used together. Usually "mailto:" links in web pages will open in Mozilla Mail, web links in an email message will open only in Mozilla Browser, "irc:" links open in Chatzilla (Mozilla's Internet Relay Chat client), etc. However, this integration can be removed:

• Install Mozilla (first uninstalling if necessary) without the e-mail component. Mozilla will then use your computer's default mail client.

• You can also download the Mozex extension which allows you to change how links are handled

• Manual configuration (for advanced users):

 In Mozilla, 
 * type about:config in the browser's Location Bar. 
 * Right-click (control click on Mac OS) in the grid and choose New -> Boolean. 
 * Type network.protocol-handler.external.mailto for the name and true for the value.