Here is an example of how to make html links that call back in your code. See attached test project.
Links must be of form <a href='callback:data'>text</a>. When clicked, onCallback method is called with 'data' portion of the link.
However I must note that html is rendered using TextView and Html.fromHtml helper. This means that only a small subset of html is supported (though that subset it enough in most cases).
Also note that you will need to tie HTMLDialog to your needs, it is hardly usable as is.