This is the standard behaviour of forms that do not have a processing script as the action.
In order to have the form automatically send the form info to your e-mail account you will have to have a server side language, (php, asp, asp.net) enabled on your server. It may be worth contacting your server provider as they may have a processing script available, (cgi if no server side language available).
Tutorial on using/creating a php contact form with processing script - http://dreamweaverspot.com/adobe-dreamweaver-tutorial-contact-forms/.
As you have discovered, "mailto" is a command that opens the default email application on your computer.
The way to get someone to fill out a form to send mail to your email account is to use server-side code. Server-side code is read by your host server and interpreted. Your host server will be able to interpret ASP or ASP.NET code (if it's a Microsoft server), Adobe's Cold Fusion (if it has that installed) and/or php, which is Open Source. Most hosting servers provide you with php.
In order to tell a server to interpret code, you have to tell the server what to expect and the universal way to do that is to place code into the web page in Dreamweaver and then change the extension of the page. When Dreamweaver makes web pages, it gives them the .html extension. If you insert Adobe Cold Fusion code, you need to change the extension to .cf If you are using php, the page must end in .php
I do have a very useful php form that works perfectly for sending email and I would be very happy to post it if your server uses php.
So find out what your web host uses and get back to me. I'll create the form for you if it's what I work with. You can also ask in the Dreamweaver Application Development forum for other languages.
Is it still possible to get that form?
Also, I would like to create a pushbutton that actually brings up a peaddressed email with a subject line. Ihave Linux with PHP 5.1 on the server side.