Most likely your e-mail address has an underscore character ('_'). Many popular browsers underline links, making underscores invisible. A good browser gives you an option of turning this off, but few people know or do this. (A really good browser wouldn't underline links at all; it is an artifact from the days before color monitors were so dominant.)
The only way I know to have no underlining is to remove the link altogether. Since the proper address is more important than the link, e-mail addresses with underscores do not have links.