I did some tests (VB .NET) and SetFocus works (WS_TABSTOP does not seem to work...)
Test creation of SysLink as child of a myForm2 window :
Dim hWndSysLink As IntPtr = CreateWindowEx(0, "SysLink", "<A HREF=""www.google.com"">Click here</A>", WS_VISIBLE Or WS_CHILD Or WS_TABSTOP Or LWS_USEVISUALSTYLE, 120, 40, 120, 40, myForm2.Handle, New IntPtr(10), IntPtr.Zero, IntPtr.Zero)
SetFocus(hWndSysLink)
with
<DllImport("User32.dll", SetLastError:=True, CharSet:=CharSet.Unicode)>
Public Shared Function SetFocus(hWnd As IntPtr) As IntPtr
End Function
The focus is set on the SysLink after I call myForm2.Show() and NM_RETURN is fired if I hit [Enter] :