The usual reason why this link may not work for you is that you may have accidentally pasted only part of the link as the URL.
Please can you check the email that you received to see if the URL (it's sometimes a very long one) was split across two or more lines. If it was, try cutting and pasting this into Notepad, eliminating the line breaks, and pasting the whole URL into your browser.
Please also note that, for security reasons, the link expires after a certain time has elapsed. You may have to request a new "forgot password" email if this happens.