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Im not sure if this will help but if you are a flash developer it will.... there are a lot of chat tutorials on chat's made with Flash 'n' PHP at http://www.flashkit.com
It depends on how exactly are you using php, you are not going to get away with an echo('http://www.link.com');
instead (i don't know how you are using php) you would have to
$string = '<a href="http://www.link.com">Linkname</a>';
echo($string);
This is perfect if you are building a modular site, if instead you use *.html files with some <? //phpcode here ?> you would simply put the link in the html but wrap it around some kinda php function and a LOT of <? ?>...