links in email Outlook xp dont work

A friend has a new Dell XP computer with Outlook 2002. He says that clicking on links in his email don’t work. An error comes up saying:

“The operation has been canceled do to restrictions on this computer.
Please contact your system administrator.”

He tried to lower security settings and his account is the administrator but it don’t help.

This happened twice now. On a letter from AT&T
And to an email address that was forwarded to him. He forwarded the letters to me and my security settings in XP & Outlook are at ‘defaults’ but i can click on links and they work.

Where shall we look for settings to configure so his links work? Or should he do a Help/Detect & Repair in Outlook?