Try this:
Go to Start, Settings, Control Panel, Add or Remove Programs (It is Programs and Features in Vista)
Click on the Set Program Access and Defaults button
Choose the Microsoft Windows option and click OK
My settings were then automatically re-configured and the hyperlinks appear to be working fine now.
I found those steps in this lengthy discussion on
http://social.answers.microsoft.com/Forums/en-US/vistaprograms/thread/8815ad6c-0f44-477a-9ffa-beb98109b5a6