How do you code a text messge with a html link?

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Here's the catch. I want the html link to say a word. In an email it works like this:
<a href="http://www.yahoo.com/">Yahoo!</a>

If I do that it shows like this: < http://www.yahoo.com > (with an underline under it)

I want it to show like this: Yahoo! (with an underline under it to let you know you can click on it)