If the links open when you hold down the Ctrl key while clicking on one, then it's probably a popup stopping program causing the trouble.
If that's not it, try the fixes in the MS KB article,
You Cannot Open New Internet Explorer Window or Nothing Happens After You Click a Link.
Although it refers to clicking on links in an email message or a web page, the fix is the same. Usually, running the "regsvr32" command on the dll's listed in the article is enough.