I have had this same on going problems with every version of Windows 8 I have installed in the last year.
Clicking a URL in any Mail.app email will not open the link in Metro IE10. Nothing happens. If I go to the start page and manually open IE10, the link clicked in mail.app will be there. The issue is that IE10 didn't start by itself nor did the focus shift to IE10.
If I change the "opening Internet Explorer" in the Internet Properties => Programs tab to "Always Open Internet Explorer on the Desktop" --- then a mail.app URL will open in the Desktop IE10.
I have asked this question before and to date have not seen or heard of a fix. I have read of other users experiencing the same problem.
I have another laptop with Win8 installed that works as intended. The only difference between the two machines is one that still functions has the 32bit version of Win8Pro and does NOT have a 3rd party browser installed (Chrome or Firefox). My 64Bit version is causing me the issue. I believe the installing the another Browser somehow confuses or corrupts the registry.
Simply put. I want my cake. I want both IE's and Chrome on my machine to work together -- if indeed it's Chrome that has messed things up.