How come mailto: URLs don't always work?

The mailto: URL is a feature found in Lynx, Netscape, Spry Mosaic, the latest NCSA Mosaics, Emacs w3 mode and many other browsers. In general, about 80% of web browsers support mailto: at the time of this writing. However, it is not in numerous older browsers. In the meantime, you can set up forms which send mail to you; see the entry regarding email forms.
World Wide Web FAQ