from PyQt5 import QtWidgets
class MainWindow(QtWidgets.QMainWindow):
    def link(self, linkStr):
        print(linkStr)
    def __init__(self):
        super(MainWindow, self).__init__()
        self.label = QtWidgets.QLabel('some text\n<a href="http://stackoverflow.com/">Stackoverflow</a>', self)
        self.label.linkActivated.connect(self.link)
app = QtWidgets.QApplication([])
widget = MainWindow()
widget.show()
app.exec_()

 from PyQt5 import QtWidgets
class MainWindow(QtWidgets.QMainWindow):
    def link(self, linkStr):
        print(linkStr)
    def __init__(self):
        super(MainWindow, self).__init__()
        self.label = QtWidgets.QLabel('some text <a href="http://stackoverflow.com/">Stackoverflow</a>', self)
        self.label.linkActivated.connect(self.link)
app = QtWidgets.QApplication([])
widget = MainWindow()
widget.show()
app.exec_()

 some text<br><a href="http://stackoverflow.com/">Stackoverflow</a>