Yes it is set to Internet Zone, and I am pretty sure all the settings are right. It is more of an irritant than a huge problem. Why shouldn't you open a link from email?
My problem at work is more serious because I cannot read any text at all in the emails, nor open attachments. I had to reset my computer there to an earlier date because it was severely messed up. I might have some sort of virus there, because we only have a free virus scanner.
Thanks for your suggestion.