That's because the mailto: protocol is associated with Outlook. If you've created an HTML or ASP page that has a form which people can use to send mail, then you should have an http: link to that HTML or ASP file. The same goes for a CGI or PHP file that does the same thing.
If you haven't created an HTML, ASP, etc. form which people can use to email you, then a mailto: link is a viable option for you. This will create an email using the default mail handler on the client. People can then create the message they want to send and then click "Send". You can even set a mailto: link to include a default address(es) in the TO: or CC: or the BCC: fields. You can also set it to include a default Subject or Body field.
HTH,
Michael
popeonline.net