Interesting, as I have downloaded a pop up stopper recently (Pop up stopper free version) and have found that I have been unable to open links in O.E. too. It also prevents me from opening certain links on web pages too. Might even uninstall the blighter!
It's probably happening because IE doesn't realise it is your default browser. Go to IE > Tools > Internet Options > Programs tab and tick the box at the bottom which says "Internet Explorer should check to see whether it is the default browser". Close Internet Explorer, then re-open it. It will ask you if you want to make IE your default browser, choose yes. Then try your email links again.
Nectar, Not being an expert here, but presumably you would remember if you had downloaded one in the past. It's not a regular part of Windows to my knowledge. Have a look in your programmes file for anything like pop-not or pop up stopper etc.