If you are using Outlook Express to send emails then you may need to make sure the format is set to Rich Tex (html) and not Plain Text.
From Outlook Express help:
Click the place in the message where you want the hyperlink or Web page text to appear.
To add a hyperlink, on the Insert menu, click Hyperlink. Select the file type, and then type the location or address of the link.
To add an HTML page, on the Insert menu, click Text from File. In the Files of type box, select HTML Files, and then find the file you want to add.
Notes
If you cannot select the Hyperlink menu command, make sure HTML formatting is turned on by clicking the Format menu in the message window and then clicking Rich Text (HTML). A black dot appears by the command when it is selected.