Quoting from a Web forum:

nouse66:

Does anyone know how to setup Phoenix 0.5 to handle mailto links?
Whenever I click on one, I get this error: "mailto is not a registered
protocol."

RickMoen:

What you describe is an acknowledged problem. My guess is that the
development team doesn't consider this a priority because Phoenix 0.5 is
basically a prototype / proof-of-concept, and that the production
version, later on, would include the glue code between the Phoenix code
(the new Web browser) and the Thunderbird code (the new mail/news
client) or whatever other e-mail handler you specify.

It's possible that adding the ContextMenu Extensions will fix it:
http://white.sakura.ne.jp/~piro/xul/_ctxextensions.html.en (Allows you
to select an application program for emailing or allows you to specify a
webmail address for Yahoo mail or other webmail services.)

It's reported (http://www.mozillazine.org/forums/viewtopic.php?t=4360)
that ContextMenu Extensions may or may not function for mailto links,
depending on whether that feature is broken in whatever version you
download. Not tested by me, in any event, but worth a try.

Rick Moen
rick@linuxmafia.com