Double-check the configuration in Outlook Express via Tools - Options. At the bottom of the General tab it says "Default Messaging Programs". If the "Make Default" button next to "This application is NOT the default mail handler" is not greyed out, click it to make Outlook Express your default mail handler.
If that doesn't help, follow the procedure below. But before you do, make sure no one else is using Outlook on that machine to collect their mail.
Configure your program access and defaults. Not knowing what OS you are using, I will assume WinXP.
Open Control Panel.
Open Add/Remove Programs.
On the left hand side of that window you will see some icons, one of those will say "Set Program Access and Defaults". When you click this you will have 3 options - Microsoft Windows, Non-Microsoft, and Custom. Click the down arrows next to whichever radio button is selected.
Under "Choose a default email program "use my current email program" will likely be selected. However, Outlook will probably be listed, and the check box next to "enable access to this program" will be checked. Remove the check mark from "enable access to this program".
HTH!