Difficult to diagnose without actually seeing the screen...
Is the link highlighted in another colour.. if it is not, then it is not a real link.
The problem may not be in the e-mail link, but within the operating system, as it does not catch the call of the link when you click it.
This can be caused by several things like your DNS domain name server not being found. The DNS does a lookup on the http pathname and converts that name to a physical IP address.
If you can type in an address in the web browser and it works, then it is not the DNS.
You can start by saying which web browser and e-mail software that you are using when this occurs, also which version of the operating system... Window's 98, 98SE, ME, XP, Win2k... or are you using a flavour of Linux ?
Also state which version of the browser/e-mail software... click in the about menu item for this.
Here is an address to try, and it will also get you a very good and free anti-virus anti spamware scanner software that I highly recommend if you use Windows.
http://www.clamwin.com/It is fairly easy to setup after you download it... the program default settings are ok, but common sense can prevail on what is good for you etc.