I have tried via <a href="market://search?q=pname:com.google.zxing.client.android"</a>
but it is not working.
I have also checked in Google Android T-mobile G1 but it does not show me link.
How can i embed link of android market application link in sms?
You can't use HTML in a SMS. A simple market://-Link would be handled by Android, but apparently the default SMS application doesn't support linking it.
For your own phone, you could try installing an alternative sms app, but for other phones it will be difficult to get this working without additional software.
Best option would probably be to file an issue in the Android bug tracker and to ask the developers to fix this issue: http://code.google.com/p/android/issues/list
Use the alternative Market URI format:
http://market.android.com/search?q=pname:com.google.zxing.client.android
That will be picked up by the SMS application and become clickable, assuming you don't apply any HTML formatting, as danilo mentioned.