You cannot show a link in a show message action.
The easiest way to achieve this functionality is by creating a popup page where you place an ‘Open link’ button with the link configured accordingly. Set Render mode to Link. You can place text widgets as siblings to the button within a parent container to render the items next to each other.
I'm not sure if you can add a link in a show message action.
<div>For more information click <a href="https://yourlink.com">here</a></div>
You can use Link Button for that and specify caption, web address as per your requirement.