By telling iexplore.exe to do it instead? I'm guessing that's how the Hotmail configuration works, since (according to Tom) it bypasses the default browser setting. Windows doesn't seem to have the hook of just putting a URL there. Should it work? Yeah. Does it work? No. (That's a frequent Windows mantra.)

Regardless, you have to pass the email address (and other data in the mailto: link) to the "application". Unless the web application understood that exact syntax — I'm guessing Hotmail does; Gmail doesn't seem to, though it should — you still have to have something to translate the mailto: information into however the web application wants it presented.

What's the problem with having a 3rd party application anyway? You seem hell-bent on not wanting it, even though it doesn't have to run all the time.