MyLabel = new JLabel("collegamento");
MyLabel.addMouseListener(new MouseAdapter() {
public void mouseEntered(MouseEvent e) {
mouseIn();
}
public void mouseExited(MouseEvent e) {
mouseOut();
}
public void mouseClicked(MouseEvent e) {
//codice per link
}
});

private void mouseIn() {
MyLabel.setForeground(Color.BLUE);
}
private void mouseOut() {
MyLabel.setForeground(Color.BLACK);
}