On Windows 8 Pro 64-bit, clicking on "Set as Default" only partially works. It sets the "MAILTO" protocol to be Claws Mail, but does not correctly set the MAPI default to be Claws Mail, meaning that Claws Mail only partially integrates into the system.
Claws Mail does not support MAPI, nor it probably ever will (unless you want to step in and implement it).
*** Bug 3549 has been marked as a duplicate of this bug. ***