Hi,
To start with, do some cleaning:
Shut down Internet Explorer and Outlook Express.
Go to Control Panel/Internet, and clear your temporary Internet Files.
Click on Settings/show files, and delete all cookies there.
Now go to the Advanced tab, and click Restore Defaults.
And go to the Security tab, and click restore defaults there as well.
Now first try setting IE5 as your default browser. Go to IE tools/internet options/programs and turn on the check box for IE to check if it is the default browser. Shut down and restart IE. When it asks to be default browser, say yes.
This is absolutely vital for your hyperlinks to work.
Also have a look at this MS article:
Internet Shortcuts in Outlook Express Don't Start Browser
It appears to refer to OE, but it's relevant all the same.
It's also advisable to run IE Repair, if you have it available.
It often repairs these file asssociations:
Description of the Internet Explorer Repair Tool
Good luck,