What about this?
HtmlAnchor errorLink = new HtmlAnchor();
errorLink.InnerText = this.Message;
errorLink.HRef = errorLink.ResolveClientUrl("#" + this.FormControlId);
errorLink.Attributes["rel"] = "form_help";
Works for me but I'm using a Server Control in a Class Library as opposed to a User Control. I think it should work for a User Control as well.