If you use a web-based email program (e.g. yahoo, Hotmail, etc.), you will not be able to simply click on an email link on this or any website.
Instead, you will need to copy the email address and paste or type it into the address field of a new mail message in your own email program online.
If you use a desktop-based email program (e.g. Outlook, Outlook Express, Thunderbird, Eudora), clicking these links will cause your email program to open up and automatically insert the address into your new email message.