Yes. That's because Internet Explorer is not really a separate program. It's tied into Windows so deeply that settings changed there affect the whole system. This explains its appalling security record and the legal action against Microsoft.

If you can handle Pegasus, you can handle a new browser like Firefox, Opera or Safari, all of which offer better features and safer browsing then Internet Explorer.

There's a thread in the FAQ forum about how to add Pegasus as the default mailer for Internet explorer

http://community.pmail.com/forums/thread/86.aspx

 I wanted to point out that this also works to add Pegasus to the start menu in the  'E-mail' slot. Once you select Tool->Options->Hyperlinks->System Mailer... Pegasus will show up in the drop down box allowing you to set it as the e-mail client that shows up in the start menu.

 This works in XP (and W2K!), I can't comment on Vista or Windows 7.