To answer the last part of your questions. The two parenthesis invoke the function as any other functions. Why you do it here is that you want to keep what the variable "i" is just at that time. So what it does is, invoke the function, the i is sent as a argument "num". Since it's invoke it will remember the value nume in variable links own scoop.
If you did't to this all link click would result in an alert saying "5"
John Resig, founder of jQuery, has a really nice online presentation explaining this. http://ejohn.org/apps/learn/
..fredrik