I've got a problem with Outlook 2010 on an XP box. Web links inside e-mails are highlighted and underlined just like normal, but when I click on them, nothing happens. Links fire off the browser fine from other applications. Looks like it's just Outlook that's affected. Googled this some and found a couple suggestions already, but none of them worked, so I might have an uncommon problem here... :-(
I suggest you check your security settings. They might be set too high to permit opening URLs from emails.