Consider this:
jQuery(function(){
var close_link = $('Click here to see an alert');
$('.add_to_this').append(close_link);
$('.add_to_this').children().each(function()
{
$(this).click(function() {
alert('hello from binded function call');
//do stuff here...
});
});
});
It will work because you attach it to every specific element. This is why you need - after adding your link to the DOM - to find a way to explicitly select your added element as a JQuery element in the DOM and bind the click event to it.
The best way will probably be - as suggested - to bind it to a specific class via the live method.