The link in the email was already downloaded or you would not see it to click on it. So the problem is likely to be elsewhere and not a download issue at all.
Links in emails can be to web pages or other. And a web page could try to load a plugin that you don't have. As no one has your link from the email, no one can look and see what the link is to and what is required to have a successful outcome from clicking on that specific link.
AND NOW LET'S TALK ABOUT LINKS IN EMAILS.
All of a sudden I'm receiving the following message when I attempt to download an email link: "Couldn't load plug-in." What does that mean and how can I load the plugin?