Which version of OE are you using? If it is OE5.x, then this is a known bug (attribute) with it, as it will only launch IE by default (regardless of whichever browser you have set as system default). With OE6.x however, it is a different kettle of fish. The last time I tested it (a while back), it did launch the system default browser, so you basically have to have the correct settings in place (http, html docs). If you have not set K-Meleon as your default, then I might suggest using SetBrowser to do so:
Of course naturally the better idea is to dump OE and go with another email client. Here are some suggestions:
If you have K-Meleon set as the default browser, then these programs will launch it correctly when clicking on a hyperlink.