Code
The text of a QLabel can be made selectable by mouse like so:
label->setTextInteractionFlags(Qt::TextSelectableByMouse);
This is found in the QLabel documentation.
You can use that same function to make links selectable by keyboard, highlight URL links, and make the text editable. See Qt::TextInteractionFlag.
Designer
Search for textInteractionFlags under the QLabel menu and set the flag TextSelectableByMouse.