A page treated as dialog data-rel="dialog" can't have any links working properly. Try the following code
- <div data-role="page" id="" data-theme="a">
- <div data-role="content">
- <a href="http://www.amazon.com" target="_blank" data-role="button" data-theme="a">
- Amazon
- </a>
- <a href="http://www.apple.com" target="_blank" data-role="button" data-theme="a">
- iTunes
- </a>
- <a href="#" data-role="button" data-theme="c">
- Cancel
- </a>
- </div>
- </div>
And tell if it works for you (don't forget to set this page as a dialog).
For me, the dialog closes when I click any of the two links but nothing else happens. It works fine when the page is not a dialog.