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The likely cause for this is that your browser, feed reader, or email application is configured to not accept cookies, or your reader may launch an external browser to view links without sharing cookies.

If you're using Internet Explorer, make sure your privacy setting is at medium or below. Select 'Internet Options' from the 'Tools' menu in your browser windowClick the Privacy tabAdjust your privacy setting if necessary
If you're using a reader that embeds Internet Explorer (examples: Microsoft Outlook, Outlook Express, Feed Demon), you'll also need to select Internet Explorer as your default web browser. Open Internet ExplorerSelect 'Internet Options' from the 'Tools' menu in your browser windowClick the 'Programs' tab and check the box for Internet Explorer to check if it is the default browser and save your changeClose your browser, re-open it, and when prompted, select Internet Explorer as your defaultYou can then click on an ad in your newsletter and visit the site you wish to view