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Setting default application

Be careful, you can certainly screw things up!  But having said that, changing the default application is fairly easy.  Regardless of the Windows version, from the Control Panel select Default Programs then look for and select Set your default program.

After the list populates, select the desired app on the left then click (near bottom) Set this as default...

Setting default email?   If you use web based email like Gmail, Yahoo, etc., there is no email application setup and Windows cannot handle the click request correctly.  The reason here is; there are hundreds (if not more) web based email and clicking a link would need to open the Internet Browser to your email address and then a new email message.