WPF Task Dialog Wrapper provides an implementation of CommandLink .
Here is an example of how to display command links:
TaskDialogOptions config = new TaskDialogOptions(); config.Owner = this; config.Title = "RadioBox Title"; config.MainInstruction = "The main instruction text for the TaskDialog goes here."; config.Content = "The content text for the task dialog is shown here " + "and the text will automatically wrap as needed."; config.ExpandedInfo = "Any expanded content text for the task dialog " + "is shown here and the text will automatically wrap as needed."; config.CommandButtons = new string[] { "Command &Link 1", "Command Link 2\nLine 2\nLine 3", "Command Link 3" }; config.MainIcon = VistaTaskDialogIcon.Information; TaskDialogResult res = TaskDialog.Show(config);

The library is licensed under the Open Source Code Draft License.
Seven Update has another nice implementation of CommandLink .
Here's what it looks like:

Keep in mind that this is a GPL v3 licensed project.
This guide may also help:
Creating Link Controls in Silverlight with a Blender 3 Expression and Behavior
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