Your PHP variable is seen as plain text because is a pure string, nothing more.
Your goal is to let be clickable that link and I guess it will be shown in a webpage.
In this case, you should put some HTML code inside that variable.
Starting from your code, a valid solution can be this:
$Msg= "hello !. \N <a href='http://example.com "'>Click Here</a>;
Otherwise, you can implement this function:
function make_links_clickable($text){
return preg_replace('!(((f|ht)tp(s)?://)[-a-zA-Zа-яА-Я()0-9@:%_+.~#?&;//=]+)!i', '<a href="$1">$1</a>', $text);
}