Links Contained in emails Usually Don't Work

When I receive an email containing a link, it usually doesn't work.  Either nothing happens when I click on it, or the email contents disappear from the screen and a small triangle with an exclamation point appears in its place.  Many of the links that don't work seem to have the actual link contained in a file which I assume Pegasus has put on my hard drive.  But there are others that have the actual link right in the email.

 This is very frustrating and inconvenient.  Does anyone have any ideas?

Thanks.