I am not sure, just check in Javadoc if JLabel is implementing
ActionListener (JButton is)...if does then you can make something like
that

You're in luck.  Just having come from a c.l.j.? convo.
about links, I writ this..

<sscce>
import java.awt.*;
import java.awt.event.*;
import java.net.*;

public class LinkLabel extends Label implements MouseListener {

 URL url;

 final Color normal = Color.blue;
 final Color hover = Color.red;
 final Color active = Color.magenta;
 Color mouseOutDefault;

 public LinkLabel(String text, URL url) {
   super(text);
   this.url = url;
   this.addMouseListener(this);
   setForeground( normal );
   mouseOutDefault = normal;
 }

 public void paint(Graphics g) {
   super.paint(g);
   g.drawLine( 2,
     getHeight()-5,
     getPreferredSize().width-12,  
     getHeight()-5 );
 }

 public void mouseReleased(MouseEvent me) {}

 public void mousePressed(MouseEvent me) {
   mouseOutDefault = active;
 }

 public void mouseExited(MouseEvent me) {
   setForeground( mouseOutDefault );
   System.out.println( "Clear 'status bar'" );
 }

 public void mouseEntered(MouseEvent me) {
   setForeground( hover );
   System.out.println( "Display '" + url + "' in 'status bar'" );
 }

 public void mouseClicked(MouseEvent me) {
   setForeground( active );
   mouseOutDefault = active;
   System.out.println( "Open '" + url + "' now!" );
 }

 public static void main(String[] args)
   throws MalformedURLException {

   Frame f = new Frame("Link Label Demo");
   f.setLayout(new GridLayout(0,1));
   f.add( new LinkLabel("PhySci Web & IT help",
     new URL("http://www.physci.org/codes/")) );
   f.add( new LinkLabel("Sun Microsystems - Developer Network",
     new URL("http://java.sun.com")) );
   f.add( new LinkLabel("Some Other Site",
     new URL("http://www.someothersite.com")) );

   f.pack();
   f.setVisible(true);
 }
}
</sscce>

Ya' get that.   ;-)