You need to split it, like this:
$("#td" + id).append("<p><a href=\"#\" /></p>");
and then select the new element
$("#td > p > a").click(
function(){
//this now will be pointing to the selected element
}
)
If you must assign your event handler that way (that is, the "DOM 0" way, instead of with jQuery), you can do this:
<a href='#' onclick='excluirArquivo(this)' > ... </a>
Or, I suppose (given that you want to pass a parameter):
<a href='#' onclick='excluirArquivo.call(this, param)'> ... </a>
That way, "this" inside the function will be the element, which seems closer to what you want.