Yes, of course. There are several options:
Use JLabel with HTML link (<html><a href="http://yahoo.com">YAHOO</a></html>) Programmatically from any event handler by calling ClientAgent.getCurrentInstance().getHTMLPage().setRedirectURL()
See
http://creamtec.com/products/ajaxswing/doc/api/com/creamtec/ajaxswing/core/ClientAgent.html#getCurrentInstance()
http://creamtec.com/products/ajaxswing/doc/api/com/creamtec/ajaxswing/rendering/AbstractDocument.html#setRedirectURL(java.lang.String)