If HKEY_LOCAL_MACHINE\Software\Classes\mailto is missing as it was in my case, you have to restore it. In parent branch (Classes) right click, select New -> Key, name it, mailto. In this new key create a string value (right click, New -> String value), give it name, URL Protocol, and you're done. Got it on http://superuser.com

Thanks for sharing bauto, normally it is already included by default on installation