make sure the "Auto find" in the options menu says "Auto Find Off." You can do this by pressing the options key usually soft key one and then scroll down to "Auto Find."
You will also need to change the cursor mode from character or words to original. Use the talks key plus a long press of the digit 2 to scroll through your options. Once you've found original, you should be able to activate the link in your text message.
You also might see an option to "open link" in the Options menu.