This is the reply I got:

NSP uses vegetable based glycerin. Our hard 2-piece capsules are made from 100% bovine (cow) gelatin. These capsules are kosher certified. NSP has investigated the possibility of using other alternatives. Currently bovine sourced capsules are considered superior, but we are continually searching for the best option (i.e. vegetable, other, etc.). Vegetable based capsules that we have evaluated in the past have had problems of being brittle."

They said vegetarians can still use them by taking out the contents, like what your friend does, Laura, but I'm afraid for this vegetarian, and I'd imagine for a lot of vegetarians, we won't, on principle, buy any product that uses parts of animals bodies. To buy the product is to support the industry, so if we're buying it, we may aswell be eating it, because the cows are still getting killed.

Guess I'll just have to try the pro-algen and hope it helps with the mercury.