admin/orders.php is the file.
Look for
$email = STORE_NAME . "\n" . EMAIL_SEPARATOR . "\n" . EMAIL_TEXT_ORDER_NUMBER . ' ' . $oID . "\n" . EMAIL_TEXT_INVOICE_URL . ' ' . tep_catalog_href_link(FILENAME_CATALOG_ACCOUNT_HISTORY_INFO, 'order_id=' . $oID, 'SSL') . "\n" . EMAIL_TEXT_DATE_ORDERED . ' ' . tep_date_long($check_status['date_purchased']) . "\n\n" . EMAIL_TEXT_TRACKING_NUMBER . "\n" . tep_catalog_href_link(FILENAME_CATALOG_ACCOUNT_HISTORY_INFO, 'order_id=' . $oID, 'SSL') . "\n\n" . sprintf(EMAIL_TEXT_COMMENTS_UPDATE, $comments) . sprintf(EMAIL_TEXT_STATUS_UPDATE, $orders_status_array[$status]);
Specifically
tep_catalog_href_link(FILENAME_CATALOG_ACCOUNT_HISTORY_INFO, 'order_id=' . $oID, 'SSL')
That is what puts the link in.