In Windows Mail, go to Tools, Options, Security, select the Internet zone.
If that did not fix the problem, go to Default Programs, which you can
access either from the Start menu or via the Control Panel, then click the
first item: "Set your default programs."
After a few seconds a list of programs comes up. Click on Internet Explorer.
If it doesn't respond with "This program has all its defaults" then fix it by
clicking on the option indicated by the first green arrow.