If you don't want to turn off autoescaping on all messages/templates, you can use mark_safe for that particular message:
from django.utils.safestring import mark_safe
messages.info(request, mark_safe("My message with an hyperlink"))
And if you maybe have some unsafe parts of your message, you can use cgi.escape to escape those parts.
from cgi import escape
messages.info(request, mark_safe("%s hyperlink" % escape(unsafe_value)))
