You have a mail client on your machine. Go to control panel and set it as the default. Then you will have a default mail client. If you are using Internet explorer you can go to the Internet item on the control panel, select the programs tab and select the program to use for the mail client.

Slightly different depending on the operating system but here are some instructions for windows xp
http://www.freeemailtutorials.com/microsoftWindows/settingDefaultEmailClient.cwd