Click Start, Run and type the following commands one by one:
"%ProgramFiles%\Outlook Express\MSIMN.EXE" /REG
(The above command does not return any message, and executes silently)
regsvr32 "%ProgramFiles%\Outlook Express\msoe.dll"
See also:
Send To and E-mail Links Do Not Work Using Outlook Express as Default:
http://support.microsoft.com/?kbid=306098
If that does not help, try setting OE as the default mail client using the following tool:
[DefaultMail]
http://windowsxp.mvps.org/defaultmail.htm