That's the correct URL.  It's the same URL I get, and it works for me.

You really need to make sure you have popup blocking turned off if 
using compose windows in popup windows.

Updated to to the lastest version but it still doesnt work.

If using:
http://webmail.example.com/imp/?actionID=login_compose&to=mailto:user@example.com

After login, the inbox is displayed there is no new message 
composition window, this is the url that is listed
http://webmail.example.com/index.php?url=http%3A%2F%2Fwebmail.example.com%2F%3Furl%3Dhttp%253A%252F%252Fwebmail.example.com%252Fimp%252Fmailbox.php%253FactionID%253Dlogin_compose%2526mailbox%253DINBOX%2526to%253Duser%252540example.com

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By using the "mailbox.php" page with the following url:
http://webmail.example.com/imp/mailbox.php?actionID=login_compose&to=mailto:user@example.com

Before the login page appears, the above url is redirected to:
http://webmail.example.com/imp/login.php?url=%2Fimp%2Fmailbox.php%3Fnocache%3D4o3hm9esvxmo%26amp%3BactionID%3Dlogin_compose%26amp%3Bto%3Dmailto%253Auser%2540example.com

After login, the inbox is displayed and thew new message composition 
window is also displayed and working.  The url is listed as:
http://webmail.example.com/index.php?url=http%3A%2F%2Fwebmail.example.com%2Fimp%2Fmailbox.php%3Fnocache%3D4o3hm9esvxmo%26actionID%3Dlogin_compose%26to%3Dmailto%253Auser%2540example.com

Fixed the source of the problem, rather than changing the URL.

I think this is a bad solution. The registry file is installed on the 
client computers and would have to be updated on every single windows 
installation to make this work again. That's not what administrators 
choose a web application for.
It should be fixed in IMP instead so that it works with the old URL again.

Don't use this myself, but will trust you when you say this makes 
things work correctly.  Makes more sense to have the URL point to an 
actual script anyway.  Fixed in HEAD and 4.1.4.

There appears to be a bug when processing actionID=login_compose

According to Imp.reg when
[HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\Imp\Protocols\mailto\shell\open\command]
@="iexplore.exe -nohome 
webmail.example.com/horde/imp/?actionID=login_compose&to=%1"

The new message composition box never appears, however changing the command to

[HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\Imp\Protocols\mailto\shell\open\command]
@="iexplore.exe -nohome 
webmail.example.com/horde/imp/mailbox.php?actionID=login_compose&to=%1"

After further testing, it appears that if you use the original command 
from the current Imp.reg, then click on a mailto: link and login to 
horde, the mailbox listing is displayed but no new message window but 
if you click on any message then press the back button in IE, the new 
message window is displayed with mailto information.  Specifying 
mailbox.php on the command line causes the new message window to open 
immediately after login to horde and it is correctly filled with the 
mailto address.  I test with both IE7 and firefox 2.0 and the results 
were the same.