One option is to install the gmail notifier program. I opted instead for a quick change to the Windows filetype settings.

Note that following these instructions will cause all mailto links to open in Google Chrome, even if you are browsing in Firefox, Safari or (gasp) Internet Explorer so make sure you want to use google Chrome as your primary browser before continuing. In Firefox, you can go to Tools->Options->Applications and configure “mailto” to set Firefox to use gmail for mailto links and not the system default (thanks to Eric for the tip).

WIndows XP

In any windows explorer window (except desktop):

• Go to Tools > Folder Options > File Types
• Near the top of the list of filetypes, click on “URL:Mailto Protocol”
• Click on “Advanced”
• With “open” highlighted, click on “Edit”
• Change the application to:

  "C:\Pathto\chrome.exe" https://mail.google.com/mail?extsrc=mailto&url=%1

This should all be on one line with a space between the quotation mark after the path info and the https. My path was “C:\Documents and Settings\Brendan\Local Settings\Application Data\Google\Chrome\Application\chrome.exe” To find yours, just right click on a google Chrome shortcut (like the one in your start menu), go to “properties” and copy the “Target” field.

Windows Vista

Thanks to Ed H. in the comments below for these instructions

• Open your registry editor (Type “regedit” at your start menu)
• Navigate to HKEY_CLASSES_ROOT\mailto\shell\open\command
• Edit the (Default) command from whatever it is (right click and select modify) to:

  "C:\Pathto\chrome.exe" https://mail.google.com/mail?extsrc=mailto&url=%1

In Vista, your path will be something like “C:\Users\Brendan\AppData\Local\Google\Chrome\Application\chrome.exe ” with “Brendan” being your username.

Ubuntu

How-To Geek has great instructions on how to accomplish this in ubuntu.

Open with Google Apps

Another tip from Ed H. in the comments:

If you have “Google Apps for your Domain” (i.e. you’re having Google host your domain’s email,) you can customize it for your domain by changing the URL above so that instead of “mail.google.com/mail?…” it reads “mail.google.com/a/yourdomainhere.com?…” (obviously, use the rest of the URL mentioned above after the question mark; and use your domain instead of “yourdomainhere.com”.)