Joseph,
Although it certainly is possible to detect a click on a JLabel, if you want to use a "true" hyperlink,
you should consider using a JEditorPane and calling its addHyperlinkListener() method. That method allows you to register a listener that will be notified of events related to the hyperlink, such as when the cursor moves over and away from it, and when it's "activated" (i.e., when the user has clicked on the link). Although you can do the same things with a JLabel, I suspect that you'd find JEditorPane a more convenient choice, at least if you want your "clickable text" to work the way most users expect a hyperlink to work.
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Brett Spell
Author,
Professional Java Programming