One fun way to look at what is going on would be to install
Ethereal , or some other sniffer, than click on a link, and than see what is going on.
Also, I you might want to read something about protocols like HTTP, TCP, UDP, IP - just to understand how it works.
If you don't wont to go that deep, you can think that when you click on a link previous connection is dropped - so the browser itself never receives the previous click result.