Not sure if you can do this directly in Indy. I tried in CS3 without any luck.
If you export the Indy file to pdf, you can make the link in Acrobat.
1. Using the "link tool", draw a rectangle around the area that you want to be clickable. (If you want the formatting of the text to be blue and underlined, do that in Indy.)
2. Select the options you want at the top, and select "Open a web page" at the bottom.
3. Click "Next"
4. Type in the email address, proceeded with "mailto:"
5. Click "OK" and save!