i ran into the same problem with version 3.6.7.
The problem was, that i installed PHPList in a subdomain. This subdomain wasn’t resolved in the sendmail.script. It just pointed to the root-folder of the domain, where (of course) script lt.php wasn’t found.
To solve this i added in script sendmaillib.php in every line with “lt.php” the subdomain (i. e. from “$newlink = sprintf(’<a %shref=”%s://%s/lt.php?tid=%s" %s>%s’, $links[1][$i]," to “$newlink = sprintf(’<a %shref=”%s://subdomain.%s/lt.php?tid=%s" %s>%s’, $links[1][$i],"), so the complete link was send in the mailings.
I’m not sure about the complete impact of having added the subdomain to every line. But sending a test-mail and clicking on the picture with the link worked.
Maybe this workaround helps some users. At least until a solution is found to add a subdomain initially.