Setting the default Email client means that when you click Send Link, Send Email or Attach to Email in your browser or destkop program, Windwos will open your email program with the document or page set placed in a new message.

Usually, you can do this from within the Options of your email client. In Thunderbird, you can go to Tools -> Options -> General -> Default Settings.

If this doesn't do the trick, or if you want to check the Windows settings definitively, you can do it through the Windows "Internet Options" dialog. You can reach this from within Internet Explorer (Tools -> Internet Options -> Programs) or through the Windows Control Panel -> Internet Options -> Programs.

You probably will need to close and reopen whatever programs you were using, or wait until you next restart your computer, to see the effect.