It normally means you dont have a email client setup on your side, you can use Outlook Express, Mozilla Thunderbird, Windows Live Mail, there are loads more out there but these are the main ones I can think of.
Windows 7 doesn't ship with an e-mail client. You'll need to add one to be able to start using E-mail.
If you just need a basic e-mail client Windows Live Mail 2011 is a good choice and it's free. Windows Live Mail 2011 download.
There are some other free Windows Live software packages you might be interested in as well. Windows Live Essentials 2011
Live Mail is also a part of this Essentials package too.
If you are using gmail or hotmail (and nothing wrong with that) then you will probably have to copy the email from the craigslist ad, then crank up your email site in another browser window and initiate an email from there.