I really don't understand it, siria, but it may be specific to Windows 7, because I've read a lot of discussions online relating to Win7 and missing mailto: protocols. Microsoft's support site describes a fix that doesn't work, but consider the source.
They keep telling people to click on the protocol at the bottom of the Default Programs list to select an e-mail client, even after users have stated plainly that the protocol isn't listed.
On my system, even if the mailto: protocol is recognized, it doesn't appear at the bottom of that list, so there's no easy way of changing the program associated with it. Long before I started using K-Meleon I had to manually create the registry key HKCR\mailto\shell\open\command and enter the filename and path of my e-mail client. This worked, but the protocol is still missing from the list.
I previously had no problem specifying an e-mail client in Firefox, but that was before I disabled Internet Explorer. The only conclusion I can reach is that internet protocol handling is dependent on a component of IE, at least in Win7.