Most email programs can set themselves as Window's default mail handler from their options dialogs. For example Microsoft Outlook, Outlook Express and Thunderbird will check if they are the default email program on startup.
You can set default e-mail program in Windows XP from Programs tab of the Interner Options.

You can access Internet Options in many differant ways:
1. Go to the Start Menu, choose Control Panel and open Internet Options.
2. From Internet Explorer go to Tools and choose Internet Options.
3. From Run menu type "inetcpl.cpl" and press Enter.
All you need to do is to choose the necessary program under E-mail drop down list.