I registered domain www.a.com I then forwarded with masking (using GoDaddy) traffic from www.a.com to www.really.long.url.com, so users will only see www.a.com in their addr
Best answer would be "don't use domain masking" because it has many drawbacks including:
a.com, because it doesn't - it's still being served by really.long.url.comTo avoid these drawbacks, you should configure the DNS for a.com so it and the www CNAME are actually pointed at your webserver, and your website can be served from a.com directly.
Having said that, to solve the question you asked, links to external sites from within a domain masked site should be changed to use the deprecated target="_top" attribute. This breaks out of the invisible frameset that GoDaddy (and others) use to implement the not-very-clever "domain masking". The source of http://www.a.com/ basically looks something like this: