Type "set default" in the Start Menu's instant search box. Click the top result ("Set your default programs"), click your email client in the list on the left, and then click "Set this program as default".
Have you installed a mail client yet? Remember that Windows 7 doesn't come with one included.
@hdcrash: If you need a mail client, Thunderbird is an open-source option with many good features; for more experienced users, it's a good choice. For ease of use and an interface to match Windows 7, Windows Live Mail (part of the Windows Live Essentials software bundle from Microsoft) is also free and works well.