From http://www.fjsmjs.com/OE/defaultl.htm

Go to Start | Run and type this command, with the double quotes and spaces:

"C:\Program Files\Outlook Express\msimn.exe"  /reg

and then make sure that OE is selected as the default mail program in both
IE and OE.

If that isn't enough, see this article:
"Send To" and E-mail Links Do Not Work Using Outlook Express as Default:
http://support.microsoft.com/?kbid=306098

You might also want to try this:

Restores OE to the E-mail clients list in Internet Options
http://www.dougknox.com/xp/scripts_desc/oe_client.htm

To set Outlook 98, 2000 or 2002(XP) as the default mail client,- Go to
Start, Run - Type in the following with quotation marks and press OK
"C:\program files\microsoft office\office\outlook.exe" /checkclient
For more information on Outlook see:
http://www.slipstick.com/config/defaultmailer.htm