The link on a webpage doesn't direct to any particular mail client. It's your browser which selects the client which must be opened.
To the best of my knowledge, you can't get a free download of Outlook. It would be far simpler to tell your browser to open Windows Mail. I assume that you're using Internet Explorer as your browser (silly, very silly!) so the following instructions should be roughly correct. (You're probably using a later version of IE than I've got - unused - on my PC, so things might have changed a bit):
Go to Tools > Internet Options > Programs. Use the drop down menu to direct emails to Windows Mail. Click 'Apply' and 'OK'.
Chris