See

http://support.microsoft.com/kb/918792

Or maybe the following posted originally by fellow MVP Peter Jamieson:

First, make sure that the e-mail program you want to use is set up to be the
default e-mail program (e.g. via Internet Explorer|Tools|Internet
Options|Programs, and send at least one message using it.

Then Word needs some stuff in WIN.INI and/or in the Windows registry
before it will show you the E-mail option. I believe that for Word 2003 it
needs to be in the Windows registry, but that may depend also on the version
of Windows so it is probably better to put the information in both places.

For WIN.INI,
a. find the WIN.INI file in your Windows folder (typically c:\WINDOWS),
make a backup copy of it, and open it in Notepad.
b. ensure that the following text is in there, and add it if not

[Mail]
MAPI=1
CMCDLLNAME32=mapi32.dll
CMCDLLNAME=mapi.dll
CMC=1
MAPIX=1
MAPIXVER=1.0.0.1
OLEMessaging=1

You will need to close all copies of Word before this change has a chance of
taking effect. It is probably safest to restart Windows to be completely
sure.

If that isn't enough, you will need to edit the registry. Proceed with
caution!

c. In your Windows folder, locate and run regedit.exe. If you're on an
older version of Windows you might need to use regedt32.exe.

Look for a key called

HKEY_LOCAL_MACHINE\SOFTWARE\Mi­crosoft\Windows Messaging Subsystem

I would be surprised if it was not there in recent versions of Windows, but
if it is not, add it.

If it is there, I would expect to see
d. a subkey claled MSMapiApps
e. a number of "values" with the same names as are in the above list -
MAPI, MAPIX etc.
f. an additional value called InstallCmd

If you cannot see the (e) values, you need to add them. For each of the
values in the above list
g. right click "Windows Messaging Subsystem" and select New|String Value.
Note that although some of these items have numeric values, they should all
be entered as String Values.
h. enter the name, as above
i. double click on the name. A dialog box appears. Enter the value (e.g.
for the name CMCDLLNAME, enter mapi.dll) and click OK
j. You may also need to create the InstallCmd value, although I rather
doubt it. I am less sure about this and about what should go in there. On my
system, the value is:
rundll32 setupapi,InstallHinfSection MSMAIL 132 msmail.inf

When you have done them all, press F5. Then close all copies of Word and
restart it - or restart Windows, then restart Word and see if the e-mail
option has appeared.

Peter Jamieson