You can insert whatever you want into the database columns. But the action "Open this link on a click event!" is something your application has to do.
To put it even closer: The action "Take this string, paint just the text on the screen, let it look like a hyper link and navigate to the hidden URL on a click!" is something bound to a HTML engine. Pass HTML to any browser and the browser will do all this implicitly. But your database is just a container for data...
I would either use a column typed XML and treat the HTML as XHTML, or - this would be much! better - use two columns and create the link either within a query or - again better - in your application.
Assume a table like this:
DECLARE @TheLinkTable TABLE(ID INT IDENTITY,LinkText NVARCHAR(1000),LinkAddress NVARCHAR(1000));
INSERT INTO @TheLinkTable VALUES('Y','http://www.google.com/');
You can use a query like this
SELECT LinkAddress AS [a/@href]
,LinkText AS [a]
FROM @TheLinkTable
FOR XML PATH('');
And you might read into this answer, if you'd need a HTML-table actually.
But - as said above - I'd just read both values from separated columns and build the clickable link in the application.