The technical name for this is a "mailto" link. It's very similar to a regular site link. In Finalsite, you can do this by creating a link just like you would use to link to a website, and then editing the link address.
Create a link just as you would if you were linking to a website. Highlight the text you want to turn into a link, and click the 'link' button in the editor to bring up the Link Settings window:
If you were linking to a website, you'd put its address in the "URL" field (red arrow). To create an email link, erase the "http://" that's in there, and add this text to the URL field instead:
Replace [RecipientEmailAddress] with the email address you're targeting in the link, and replace [subject] with whatever you want the email's subject line to be. Don't include the brackets with your address or subject.
The [subject] part is entirely optional, and if you leave it out the end user will just have a blank subject line that they could fill in. Just remove the ? and everything after it. Also, if you're going to have any spaces between words in your subject line, you'll have to replace each space with %20 - It%20will%20look%20like%20this.
So if I wanted to create an email link to my Finalsite email with the subject line of "This is an example", it'd look like this: