are you using VB 2003 or 2005, with VB2005 version of the webbrowser control you can do the following
Private Sub WebBrowser1_DocumentCompleted(ByVal sender As Object, ByVal e As System.Windows.Forms.WebBrowserDocumentCompletedEventArgs) Handles WebBrowser1.DocumentCompleted
Dim olink As HtmlElement
Dim olinks As HtmlElementCollection = WebBrowser1.Document.Links
For Each olink In olinks
olink.AttachEventHandler("onclick", AddressOf LinkClicked)
Next
End Sub
now you will need to have the link handler that will actually be called when the user click the link.
Private Sub LinkClicked(ByVal sender As Object, ByVal e As EventArgs)
Dim link As HtmlElement = WebBrowser1.Document.ActiveElement
Dim url As String = link.GetAttribute("href")
MsgBox("Link Clicked: " & link.InnerText & vbCrLf & _
"Destination: " & url)
End Sub