The problem may be their end. This is taken from the OE help:
To insert a hyperlink or HTML page in a message
In the message window, click where you want to add the hyperlink or Web page text.
To add a hyperlink, click the Insert menu, and then click Hyperlink. Select the file type, and then type the location or address of the link.
To add an HTML page, click the Insert menu, and then click Text from File. Change the Files of type box to HTML Files, and then find the file you want to add.
Tips If you cannot select the Hyperlink menu command, make sure HTML formatting is turned on by clicking the Format menu in the message window and then clicking Rich Text (HTML). A black dot appears by the command when it is selected.
To create a hyperlink from message text, simply select the text before you create the hyperlink.
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