Open Internet Explorer, go to Tools, Internet Options, Programs tab, Reset Web Settings. Then try to click an email link again.
If this didn't help, I'll need some additional information:
1. Has this always been this way? If not, how long has it been happening and what might have changed on your computer just prior?
2. Is it email links in all email or just some, like in the Junk Mail folder only or only from certain people?
3. Is this a home computer or work/office computer?
4. Is your email POP3, through a local ISP, or Exchange through your office?
5. What antivirus and firewall do you use?
6. Please take a screen shot of the local browser you get when trying to open an email link. To do this, from the local browser press the ALT key and Print Screen keys together. This will take a snapshot of the current window and place it on the clipboard. You can paste the image into Paint or WordPad. If saving from Paint, save it as a BMP file (JPGs won't attach to this forum).