Hi
What kind of links are you talking about?
If they are links to video or text file, or something like that you need to tell Windows what program you want to open it for example Windows Media Player, or Microsoft Word.
If they are just links to files that's a different matter.
Give us an example, i.e. I clicked on a link to an .avi file or a .txt file and the message popped up.
The message sounds like you don't have the correct software installed to complete some kind of process, but we need to know what the process is.
If you are talking about links to web pages that's a different issue, and could involve some kind of malware intercepting the addresses.
Mike