In Google Chrome you can configure the browser to act as the default mail handler in Windows by following these instructions.
If you use Google Chrome exclusively, then that’s the end of things. If you still use Internet Explorer, however, then you’ll get a warning thrown in your face when you click on a mailto: link that mentions IE’s “Protected Mode” and if you want to allow the specified program to open.
This TechNet blog post details exactly what’s happening and why, and most importantly, how to work around it. After following these steps I can now click on mailto: links in IE and have Google Chrome open a new email composition window without any prompts to deal with. Tidy!