In Kuwait, Yes, it can be easily done by copy/paste. A link is treated as normal text in SMS messages. Most mobile browsers allow clicking on links. You could also use URL shortening services like bit.ly to track clicks. You should not send html tags in text messages.
Other countries/networks does not allow links in SMS, this is to prevent fraud and protect their users. For example, UAE and Saudi Arabia block/filter all messages that include any links. Credits will be deducted even though it is blocked.
+ I get API error 26, when I send to x country, why?
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+ What are the requirements for SenderID registration?