All you need to do is create a new shortcut with mailto: in the location field, and Windows will create a new email message using whatever your default client is—sure, you can always create a shortcut directly to your mail client, passing in the appropriate command-line parameters—but this method is quick, simple, and should work across the board.
Once you have the shortcut created, you can assign a hotkey to it under the properties dialog, but if you really want to power up your new email shortcuts, I've previously written a full guide covering how to add all of the extra mailto: parameters into a shortcut—including setting the subject line, body text, or even automatically adding yourself as a BCC contact.
For more, check out how to control your computer with shortcuts to common tasks, knock down repetitive email with AutoHotkey, or learn how to create a shortcut to your open Outlook inbox.
Two Quick Email Tips To Save The Day [gHacks]