I don't know what is causing that. However, in terms of security it is best not to click on links in e-mail messages anyway no matter who the message is from. Instead, copy and paste the link into your browser.
Back to your question, when you do click on a link, does anything happen at all? Messages? Pop-ups? Does the browser open? Does the link change color?
What are you using to read your e-mail? Are you using web-mail, Thunderbird, Outlook, something else?
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