By default, the only thing you can see in an HttpModule is the URL of the current page and the URL of the Referring page. When a user clicks on a link on your page, by default your server isn't notified.
To do what you're asking for, you would need to do something like: write some JavaScript for your page that adds the URL of the new page to a query string for a page on your site. That page, or perhaps some related code, would then intercept the incoming URL and look at the query string.
Another approach would be to have the <a> tags on your page go to a page on your site that would then issue a redirect to the final destination page. That's what Google does, for example, on their search results page.