Hi Chad
You can set up a workflow that runs when an email event record is created, checks to see if the email event type is "click", then creates a record (such as a Phone Call activity). However, setting up the workflow will run it against every email event generated, which may have a negative impact on your CRM performance if you are sending a large volume of emails.
You could also set up a workflow that runs when a sent email record is created and checks to see if the value of the clicks field is > 0. This would reduce the volume of workflow jobs to an extent, but would remove the possibility of checking which specific link was clicked.