web links not working [in Outlook]

I'm trying to help a friend out with an Outlook problem. He has MS Office XP and is using Outlook as his email client. He is having a problem clicking on web links from within emails, says he receives an error that says something like 'unable to perform operation due to your computer settings, contact your system administrator'. He said it has worked and he's not sure what he might have done to make it stop working. Does anyone have an idea what I can tell him to check to fix this?

 

Sorry to be so long posting back, I looked in the Security tab, but not knowing Outlook that well, I really didn't see anything that might pertain to this problem. I changed the security zone from restricted to internet but that didn't help. What should I be looking for under the security tab?