I am having the same problem and beyond that, other threads give instructions for selecting MSOutlook as the default mail client but I don't have Outlook as a selection (I'm running Office 2007) - so I can't select Outlook as the default mail client.
Since I just posted this I stumbled across a fix.
1. Open the default programs and select set associations
2. Select MapiMail then click the change program button and browse to find MSOutlook and assign it as the default program
For some reason when I did this, it added "Mailto" as a protocol (it hadn't even been listed before.)
3. Select the Mailto protocol and then assign Outlook as the default program.
Voila! My default mail program is now set and I can click a web page mailto link.