By default, OS X handles all mailto: and ‘send to mail’ actions with its built in Mail app. Which is fine… If that’s all that you use, however power users (or maybe corporate mac users with exchange servers) may want to use Microsoft Outlook (2016 actually not being all ‘bad’)
In order to switch the default action for mailing, it seems somewhat backwards, but you actually have to launch the Mail application!
Once the app has launched, click on the ‘Mail’ menu item and then click preferences. Right at the top of the pop up window you should see the option to select the default email reader. Doing this also associates the chosen app with all mail functionality in OS X.
You can of course, set up Mail to connect to and use a Microsoft Exchange mailbox. To do this, follow the instructions on the official Apple Support site