When you click links, your browser sends referrer information to the site you land on. This is how you get things like referrer counts in Google Analytics. Sometimes, though, you don’t want people to know where you clicked their links from. By default, this plugin will hide your referrers for links from wp-admin. You can also use it to hide links on the front end of your site by making a plugin along the lines of this.
add_action( 'wp_enqueue_scripts', 'es_anonymous_admin_links' );
This plugin is available for download to be used on your WordPress self-hosted installation.