There isn't an easy way to do this. Since once they click on a link that isn't on your server your server isn't processing the link.
But you could set up a redirection script that when called will log the site to be redirected to, and the HTTP_REFERER that called that page, and the page they are going to. And now you can track where people are going from links on your page.
It's a little more difficult than I've explained it, but not much. Let me know if you want more information on how this can be done.
It works great if your site is set up using the ideas in "Building Dynamic Pages With Search Engines in Mind". Makes things look nice.