This issue occurs after you apply the April 14, 2015 update for Microsoft Skype for Business. When you click links that are to a Microsoft OneNote page, a webpage instead of the OneNote page opens.
Workaround
To work around the issue on links that do not have the "http://" prefix, copy the links, and then paste them into a browser.
To work around the issue on links that are to a OneNote page, click WebView instead of opening the links directly.