Set the LinkLabel Text property to any text you want and in the event LinkClicked use the target url address you want to visit.

vb Code:
  1. Private Sub LinkLabel1_LinkClicked(ByVal sender As System.Object, ByVal e As System.Windows.Forms.LinkLabelLinkClickedEventArgs) Handles LinkLabel1.LinkClicked
  2.         LinkLabel1.LinkVisited = True
  3.         System.Diagnostics.Process.Start("C:\Program Files\Internet Explorer\iexplore.exe", "www.msdn.com")
  4.     End Sub