Hi there,
I had this problem recently. You'll have to send the e-mail using MIME and text/html:
$header = "To: to@a.org\r\nFrom: from@a.org\r\nMIME-Version: 1.0\r\n:Content-type: text/html;\r\n\tcharset=\"us-ascii\"\r\n";
$message = "Hi there, <a href=http://www.unsekure.com.br>unsekure</a> is a great site about security.<br>Hope you like it.";
mail("to@a.org", "Links", $html, $header);
You can use any html tag, such as <img>, <h1>, <script> etc, e.g.:
<img src=http://www.somewhere.org/image.jpg>
Hope you got it,
Leonardo Eloy