It took me a little time to figure this one out this morning, so here it is.  Thanks to Martin Honnen on this thread.  In order to make the script execute from the hyperlink instead of navigating to a page with a location of the script you want to execute you need to create a link that looks like the following:

<a href="#" onclick="script to execute that returns false">Click Me</a>

In ASP.NET, this hyperlink is set up as follows:

hl.NavigateUrl = "#"
hl.Attributes.Add("onclick", "script to execute that returns false")