gtk.Label link that executes a function.

import gtk

def imprimir(*args):
    print "olá mundo"
    return True
window = gtk.Window()
label = gtk.Label()
label.set_markup('exemplo clique aqui')
label.connect('activate-link', imprimir)
window.add(label)
window.connect('destroy', gtk.main_quit)
window.show_all()

gtk.main()