This is something different from a real phone call. When we do a hyper-link, this simply invokes an associated calling program and that's it.
But if we really want to call from our computer, then we need a solution similar to a IVR Card from dialogic or similar hardware sellers where we connect our telephone wire RJ11 to our system and have a program running which can make calls through that line.
We can also have a GSM Modem connected to the system with capability for making such calls, though I haven't used them except for sending/receiving SMS.
The other option is to have a SIP Server which will have such phone provisions and will be able to receive digital voice and convert to analog and vice versa.
So when we have such a link we need a program (and/or hardware setup) to really make such calls.