links() does what it is documented to do ;) as a general rule, links are <a> elements.

http://search.cpan.org/~abeltje/Win32-IE-Mechanize/lib/Win32/IE/Mechanize.pm#$self-%3E_extract_links%28%29

sub _extract_links {
    my $self = shift;
    my $doc = $self->{agent}->Document;

    my @links;
    for ( my $i = 0; $i < $doc->all->length; $i++ ) {
        my $obj = $doc->all( $i );
        next unless $obj->tagName =~ /^(?:IFRAME|FRAME|AREA|A)$/i;
        next if lc $obj->tagName eq 'a' && !$obj->href;
        push @links, __new_link( $doc->all( $i ) );
    }
    $self->{links} = \@links;

    return wantarray ? @{ $self->{links} } : $self->{links};
}
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See Re: Win32::IE:: Mechanize click_button; no form and what it references.

See Re: Setting Terminal Server User Profile Settings and what it references.

See also site:perlmonks.org Win32 Mechanize