This problem usually occurs if your default browser has changed from Internet Explorer to any other browser. Or your Internet Explorer is corrupted and needs repair.
Follow these steps to solve this problem.
1. Open Internet Explorer -> Tools -> Internet Options -> Programs Tab
2. Click on Reset Web Settings -> Ok
3. Click on Advanced tab
4. Click Restore Defaults.
Here is the Microsoft's Knowledge Base article (256953) to fix this problem in Multiple Operating systems. How to Configure Outlook Express to Open Links in E-mail Messages