There are a few possibilities.
For touch screen phones, pressing on the link with your finger should select it.
Many phones are able to scroll over and highlight the link and then select it directly.
For some phones, including the Motorola RAZR, KRZR, and SLVR, you need to select the "Menu" button, and then choose "Go To".
Some phones, including the Nokia 5300, you need to choose "options". From the menu then select "Use Detail". From the next menu select "Web address". Then select "Go To" when the web address is displaying highlighted on the next screen.