Problem with O.E. Shortcut

When I receive a email and within that email there is a shortcut to another email address and I click on the shortcut I get error.
(Problem with Shortcut)
Cannot send mail. No mail program is setup to send mail using internet shortcut. I have already gone into I.E. 6 sp1 and went to tools internet options programs. I can’t seem to link outlook to ie in the drop down box for email program. There is not an option for any email program.