Hiya gary, I also had a play with this on Fri.
Telstra suggested that I upgrade my handset to OS4.5 to support URLs.
This didn't fix it. (I made sure IT policy for hotspot links was enables).
What it looks like is if you prefix the url with Http:// it works fine (on both OS 4.2 & OS4.5), but it doesn't detect that
blah! is a URL (it'll display the URL in the message on the device, but it's not clickable).
I've got a job logged with Telstra who'll follow up with RIM today. I'll report back on what they have to say.