I'm getting quite a few problems with IE7 not following links....get a blank page telling me I might not be connected to internet etc. Sometimes going back and trying again allows me to view the page I was linking to.
I generally use Firefox which doesn't give me any problems like that at all, so perhaps that might be the answer for you too.
I actually HAD to reset Internet Explorer settings as per Anskeyber's link when I originally installed IE7 to actually get it to work properly at all. It was taking absolutely ages to open sites that FF openes immeadiately, and I was also getting gibberish on a few sites You knowe the sort of stuff ( E.G. FR^&(IU44(*&)
by the pageful. This has now settled down though occasionally I still get such rubbish. ~It didn't stop the dead links though, hence my preference for Firefox which I've now been using for about 12 months without major problem.