This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
HTML support in most Swing components is provided simply to make text formatting easy. It will not duplicate the functionality of a web browser (i.e. clicking on an anchor tag taking you to another page). See here for the Java Tutorial chapter on HTML in Swing. You either need to implement a listener to handle the mouse click or use a component like EditorPane which can more fully parse and render HTML.