To send a link/url in your e-mail message, the actual link must be specified within the <a href> html tag and the actual link must be within single quotes, as shown in the sample below:

on  add
    {
        on success
        {
            sendmail
            (
                To       :  zoho.loginuserid 
                From     :  zoho.adminuserid 
                Subject  :  "sending links in e-mail messages" 
                Message  :  "Please refer the following links : "+"<a href=' http://www.company.com/files/att1.pdf '>PDF1</a>" + 
" <a href=' http://www.company.com/files/att2.pdf '>PDF2</a>"  
            )
        }
    }