If you're composing the message it won't allow you to use the link UNTIL you post it...but from the Sent Items folder mail that carries URL's should activate the link.
There's a setting in Tools(inside IE at the top menu)InternetOptions/Advanced and a radio button for how you handle URL's (links)it's underbrowsing.
Check the 1 for ALWAYS underline links and it should work as you wish!
(by the way, Iain, spammers come thru here and harvest our email addies, IF we post them.)