LinkLabel.cpp

#include "linklabel.h"
#include <QtWidgets>

LinkLabel::LinkLabel(QWidget * parent)
:QLabel(parent)
{
    connect( this, SIGNAL( clicked() ), this, SLOT( slotClicked() ) );
}

void LinkLabel::slotClicked()
{
    qDebug()<<"Clicked";
}

void LinkLabel::mousePressEvent ( QMouseEvent * event )
{
    emit clicked();
}

LinkLabel.hpp

#ifndef LINKLABEL_H
#define LINKLABEL_H

#include <QLabel>

class LinkLabel : public QLabel
{
    Q_OBJECT
public:
    LinkLabel(QWidget * parent = 0 );
    ~LinkLabel(){}

signals:
    void clicked();

public slots:
    void slotClicked();

protected:
    void mousePressEvent ( QMouseEvent * event ) ;

};

#endif // LINKLABEL_H

mainwindow.cpp

/**
this is a QMainWindow using LinkLabel. 

label is declared in the ui file (not included) and when a user click on the url shown, the application opens such url and 
closes.
**/
#include "mainwindow.h"
#include "ui_mainwindow.h"
#include "linklabel.h"
#include <QDesktopServices>
#include <QUrl>


MainWindow::MainWindow(QWidget *parent) :
    QMainWindow(parent),
    ui(new Ui::MainWindow)
{
    ui->setupUi(this);
    ui->label->setText("<a href=\"http://localhost:8000\">Click me!</a>");
    ui->label->setAlignment(Qt::AlignCenter);
    ui->label->setOpenExternalLinks(false);

    connect(ui->label, SIGNAL(linkActivated(QString)), this, SLOT(on_label_clicked(QString)));
}

MainWindow::~MainWindow()
{
    delete ui;
}

void MainWindow::on_label_clicked(const QString url)
{
    qDebug("bang!");
    QDesktopServices::openUrl(url);
    close();
}

@jjfajardo note that if you would want to delegate the window closing to LinkLabel, what you have to do is to add the on_label_clicked slot to your class.