To expand on that:
If the user doesn't have an client-side email client setup (eg, they use Gmail/Hotmail via the browser) a box will pop up prompting them to setup an email account.
Even if they do have one setup up, most users will immediately dismiss the email, so you'll never get it.
This is different to serverside email, where the client submits a form to the server, and the server sends you an email.
Unlike the "mailto:" method, the second method will actually get you some responses.