I noticed many users avoided clicking mailto: links. Instead, they opted to copy the email address and log into their web-based mail.
In Firefox there is a setting that lets you avoid this hassle. Follow these steps to make this change yourself:
1) Click the Firefox button (in Firefox 4, an older version, click on Tools & Options) and click the Options button.
2) Under Content Type, change the mailto field to Use Gmail.
3) Test it out with this link.