As Geoff says, the mailto instruction will send an e-mail using the default e-mail client.
What you want it to do is send a mail via the site itself.
To do that you need to have a script running on your hosts server giving further instructions as to where to store the message and how, and where, to send it.
It'd likely you will also need to have some infrastructure involving a separate file to deal with messages.
You'd be best asking in the PHP forum, or looking in hotscripts, to see if you can find something free.