Found this info for Outlook Express - but this bit should work for standard Outlook, too as it's to do with IE settings, not the email client :


If hyperlinks are not working, it's likely one or more registered file associations are configured incorrectly. To repair the associations:

1. Click Start, click My Computer, and then click Folder Options on the Tools menu.
2. Click the File Types tab.
3. Select URL:Hypertext Transfer Protocol in the list of registered file types.
4. Click the Advanced button (Windows XP), or the Edit button (other versions).
5. In the list of Actions, select open and then click the Edit button.
6. The Application used to perform action box should contain this, including quotation marks: ["C:\Program Files\Internet Explorer\iexplore.exe" -nohome]
7. If instead it contains a short name version of that path, or an incorrect path, change it to the above. Click OK.
8. Repeat steps 3-7 for the file type URL:Hypertext Transfer Protocol with Privacy.
9. Click OK to close the Folder Options window.