When it works do you usually see an almost blank page for a few seconds with some comments about being redirected?
Because normally GMX replace's hyperlinks in emails with a link to a script on the GMX server that then forwards you to the correct external URL. The reason for redirecting (dereferr) is solely to hide your GMX account from the destination server.
Unfortunately when clicking a link your browser “leaks” information regarding the page where you’ve clicked the link. GMX tries to destroy that information so the destination server could not see. As a side effect this sometimes stops the links working correctly, I also use GMX but I collect all the emails through Microsoft Outlook. The links are then functioning correctly but you do have to hold down Ctrl at the same time you click..
If you don’t have Outlook you could achieve the same result with THUNDERBIRD and get that to collect all the Gmx mail and any other accounts you may have like Gmail, Hotmail etc. Saves logging in to many web pages to get at the different accounts.