After the installation of R01 for XenApp 5.0 on Windows x64 2008 – Outlook and PDF links stopped working.
Install the Citrix provided post R01 hotfix here – http://support.citrix.com/article/CTX129366
For some users this fix was not enough as they had already saved the blank associations in their profile
we had to delete the following keys
HKCUSoftwareMicrosoftWindowsShellAssociationsUrlAssociationsHTTP and HTTPS
R01 Details – http://support.citrix.com/article/CTX125419
Post R01 Hotfix 022 –http://support.citrix.com/article/CTX129366
Citrix Forum with further details – http://forums.citrix.com/message.jspa?messageID=1529074#1529074