No problem. Ubuntu has a convenient way to make mailto: work. It's called Desktop Webmail.
Applications > Internet > Desktop Webmail
That gets you a dropdown menu from which you can pick the webmail you use, like Gmail, Yahoo, etc.
Check Gmail (or whichever service you use) and clicking on an email link will open your mail service to a new message addressed to the address you clicked.
I'd show you a picture of the dropdown menu, but I can't. Below the dropdown menu there was a cryptic checkbox labelled simply "Ask again." I didn't know what it meant, but assumed it had something to do with asking which webmail service I wanted to use each time I clicked on an email address. I unchecked the box.
Now when I go to Applications > Internet > Desktop Webmail it opens Gmail instead of opening the menu. Apparently "Ask again" meant giving me the option of changing my default webmail service. Oh well.
Incidentally, if you don't see Desktop Webmail among your applications, you can install it from the repository or with:
sudo apt-get install desktop-webmail
