How do you get the text to the staus bar? You hover over a link. What happens as soon as you move the mouse off that link? The text goes so you would never be able to click it!
Of course if you make a permanent change to the text in the status bar this wouldn't apply.
...and here is why it may work.
If you look at the right hand side of the staus bar there is a little globe and the word Interent (in IE anyway) if you double click this it opens your security properties. This shows that the status bar can be clicked to perform an action.
...however it is more likely to be code in IE than on a web page that will sort this problem :)