There are a couple of possible causes..
Right-click on a message, choose Jink Email Options, uncheck "Disable links and other functionality in phishing messages" (Those are not moved to the "Junk" folder by default).
You may want to reset Internet Explorer settings -> "Internet Options" -> "Advanced" -> Reset
You may have to edit this Registry key:
HKEY_CURRENT_USER\Software\Classes\.html
Make sure the "Default" has a value of "htmlfile", or "value not set", not "ChromeHTML" or anything else.
Bookmarks