Thanks UncleCheese! I ended up having some help from the SilverStripe IRC and I thought I would share the results here, for the non jQuery techies like me. It is actually quite simple, now that I know how to do it.
1. download the latest jQuery library from here: http://jquery.com/ on the big download button (it's just one file)!
5. Create the query such as:
alert('This is being called on load');
alert('This is being called on click, with href set to '+this.href);
7. add the gafollow class to all the outbound links you want the link function to apply to
8. Test to see if you see both alerts
9. Delete both alerts and you are done.
Hope that helps someone!