Is Outlook installed? Outlook.exe is here - you can use Windows key + R to open the Run command and paste the path, including the parenthesis in the run box then press Enter.
"C:\Program Files\Microsoft Office\root\Office16\OUTLOOK.EXE"
if you use 32-bit Office, it is here -
"C:\Program Files (x86)\Microsoft Office\root\Office16\OUTLOOK.EXE"
If Outlook is installed and new Outlook opens when you click the link, see Use Classic Outlook, not New Outlook (slipstick.com)
If it is not installed, you can download Outlook here: https://support.microsoft.com/office/you-can-t-open-classic-outlook-on-a-new-windows-pc-5c94902b-31a5-4274-abb0-b07f4661edf5