When one of our users get a hyperlink sent to him in Outlook 2010, and tries to click it, he'll get the message "Windows cannot open this file: [url here]". It appears to add a "/" at the end, too, not sure if that's normal.
So I sent them a link to www.google.com
and when they click it, it says "Windows cannot open this file: www.google.com/
Outlook is being run by the user via Citrix so it's really running within a Server 2008. No other users on the server appear to experience this issue, however, so I think it might be registry/profile specific to the user...