What email program are you using? Is this happening in Outlook? What about other programs such as Hotmail?
As the other answer here suggests, this could have to with your anti-virus program detecting something in the link and doesn' want to open it due to security threats. However, if this is happening with every link you try to open from your email, this is probably not the case. This may have to do with not having IE set as your default browser. To make sure IE is your default browser, follow these steps:
* Click the Start Pearl, and select Control Panel
* Within Control Panel, click Programs
* Underneath Default Programs, select Set your default programs
* In the Programs list, highlight Internet Explorer and click Set this program as default
* Click OK