The status bar greets the reader when the mouse is moved over the first link. The second link uses a JavaScript call in its address.
The second uses a JavaScript HREF, not a document location. Rather than change addresses this JavaScript is executed. If the JavaScript returns any data, this becomes the new page. In this example, alert() does not return any data, so the document content does not change.
<A HREF="#" onMouseOver="window.status='Hello World';return true" onClick = "return true" >Move the Mouse over this Link</A> <A HREF="JavaScript:alert('Hello World')" >Click Me</A>