Hi Stu,
Because you are putting the actual "html" in the field, you don't need to set anything on the "on click" tab (and indeed everything there should be off")
currently you have "field contains URL" set on - but that is wrong because the field contains HTML, not a URL. (You would only tick this on if the field was (and only was) a URL.)
If you put HTML in the Display field then you will likely need "allow html" on there as well, and possibly "allow unsafe html" as well.
cheers
Bruce