Sorry, but I wasn't able to reproduce your problem.
I copied 2 URLs into a new Windows Mail message, sent it to one of my other
email accounts. Opened it in Windows Live Mail, both links work just fine.
Then I opened the sent message in WM, copied the URLs (click, drag, Ctrl-C),
created a new message, pasted the URLs into it (Ctrl-V) and sent it to
another account. I opened it with Thunderbird, and the links worked just
fine.
Both times I composed in HTML.
Then I tried it sending from WM in plain text, and they worked ok. Read in
Thunderbird and WLM.
Then I sent another to my Gmail account, and read it in WM. It worked just
fine.
Perhaps when you copy the link, you are missing part of it?