Here what to do to solve this issue
1. Download
PsExec and run psexec.exe -s -i regedt32 from the console.
2. Browse to the problem registry key (HKEY_LOCAL_MACHINE\Software\Classes\WLMail.Url.Mailto\ in this case).
3. Right-click on the key and select Permissions...
4. Click the Add... button
5. Enter your Windows username and click the OK button.
6. Select your username in the list.
7. Check the checkbox in the Allow column next to Full Control.
8. Click OK.
9. Open Windows Live Mail!
I'm not sure why but this registry key was created without appropriate permissions.