Which browser are you using?
And which operating system?
Most common cause is that Windows Mail is not set up with the right settings.
You will have to install one (like MS Outlook; Windows Live Mail or other) and then set it as the default for your mail in the "CUSTOM" section of Set Program Access and Computer Defaults (in control panel)
You can find instructions for doing this on the Microsoft website for your operating system.
For example this would be for Windows 7 http://windows.microsoft.com/en-us/windows7/Change-default-programs-using-Set-Program-Access-and-Computer-Defaults