There is a wonderful program GmailDefaultMaker - Download: GmailDefaultMaker 188.8.131.52
Despite it's name it works not only for Gmail, BUT also
, Yahoo, Aol and custom email providers too.
When you install it, it will ask which website you want to select for MAILTO protocol in Internet Explorer.
Also, when you will click on the email link first time it will show you a window, (check attached screenshots) where you need to tick the option DO NOT SHOW again and click Allow.