Recently, Microsoft disabled web links in Windows Live Messenger 2009 citing it to be a temporary measure to a malicious worm. Therefore links now appear as just text and need to be copy/pasted to your browser manually. One can debate the effectiveness of this action as Messenger already had the ability to simply not deliver links meeting a certain criteria, but it seems they've given up on this original functionality and now rely on the SmartScreen link redirector exclusively in Windows Live Messenger 2011.
So for those who wish to use Windows Live Messenger 2009 and still have the ability to click on links use Messenger Link Reviver.
Download the Messenger Link Reviver zip file and run the application. Click Start to apply the Reviver changes and Messenger will automatically restart. You should now be able to click on links again.