When you click the Start button you should see "Default Programs" there. Click on that and then on "Set program access and computer defaults". The little down arrows on the far right will expand the selection and you will see a place to specify which program to use for email. I see one named "Custom" where I find this information, but yours may be different. Click on them and poke around some.
However, I get the impression you use Yahoo for your email. Correct? If this is the case then you do not have your email software configured on the computer. You may need to get with your ISP for the configuration settings for Windows Mail.
Where are you seeing these mailto links? Websites? I'm a little unclear as to exactly what you are doing. More information would be helpful.