Try this:
<?php
$headers = "From: Some Person <some@person.com>\n";
$headers .= "Content-Type: text/html; charset=iso-8859-1\n";
$myhtmltext = "<body><a href=\"http://www.yahoo.com/\">Click here!</a></body>";
mail("myfriend@domain.com", "Check out this link", $myhtmltext, $headers);
Basically, you have to put in additional headers and one of the additional headers needs to be the Content-Type.
-sridhar