first problem: Your example website isn’t programmed in WordPress but something different (seems to be custom made). So you try to “match apples to pears”.
A good workaround seems to be the way Tom has suggested: the image plugin. first you have to design al little picture with this text (as picture!) in it. Then you put it into the image widget. Within the widegt you can set a link to wherever you want.
Hope that helps …