hi Greg,
Depends on phone support. Nokia and Ericsson support special format messages, "WAP OTA Bookmarks", that the phone will ask the user if they want to save when it arrives - they can then store and/or follow link.
Some phones (as far as i know Nokia and Ericsson are good on this) recognise URLs in SMs and activate them as links for user to follow. Unfortunately, this is not true of all
Java phones, and you may find a text with a URL in it has to be written down off the text by the user and then typed back into their browser.
As to a definitive list of which phones support what URL text formats, i'd like to hear...
hope that helps,
dan.