Problem: You receive an email with a "mailto:" link to someone's email address. When clicking it, a new email window should open. Instead, a "Locate Link Browser" windows opens asking you to locate a file.
There are several suggestions saying to modify the URL:HyperText Transfer Protocol file type behavior, but I found this to be the easiest solution:
Open Internet Explorer and go to Tools > Internet Options > Programs tab.
Change your default email client to Outlook Express and hit Apply.
Now change your default email client back to Outlook 2003. Hit OK.
Everything should be working now.