if you installed eZ Website Interface during the installation wizard, or there in other cases :
design/base/override/templates/full/link.tpl
Depending on the way you set eZ Publish up (cf the 2 cases above), reproduce the same directory structure in your custom design extension to the link.tpl template file, copy the latter from its original location and edit it to match you needs.
Let us know how things go, Cheers,
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Nicolas Pastorino
Director Community - eZ
Member of the Community Project Board