Edit in JSFiddle

function addLinks(){
  for (var i = 0; i < 5; i += 1) {
    link = document.createElement("a");
    link.innerHTML = "Link" + i;
    link.onclick = function (num) {
                     return function () {
                               alert(num);
                        };
                   }(i);
    document.body.appendChild(link);
  }
}
window.onload = addLinks();