I'm not sure about other distros, but on Gentoo, when you click on a “mailto” link in a web page, it will not open in an anything by default. The purpose of this is to show you how to have it use Thunderbird to open the mailto links. There is also a sister page going over the similar process to open links in emails that you receive with Thunderbird in Firefox. That can be found here.
You will need to go into your Firefox profile to do this. In your home directory, you should have a hidden directory named .mozilla. If you don't have that, you may have something similar like .mozilla-firefox or .firefox. Open the .mozilla directory, and then open the firefox directory in that.
In the firefox directory, you should have something similar to this:
$ ls -l total 13 drwx------ 7 jdeiman jdeiman 1216 May 11 14:41 g8mizwd9.default -rw------- 1 jdeiman jdeiman 8093 May 11 14:37 pluginreg.dat -rw-r--r-- 1 jdeiman jdeiman 94 Feb 27 12:25 profiles.ini
Your default profile directory is the one entitled <some characters>.default. Open that directory.
Now, all that's left is to create a file called user.js and put the following line in it (modify appropriately to reflect your path to the thunderbird binary):
user_pref("network.protocol-handler.app.mailto", "/usr/bin/thunderbird");
Restart Firefox and you should be all set.
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