If lblclick is a Label, then you can't add a asp tag like LinkButton just like that.
If you can (or if you move the LinkButton to your markup) you need to add the runat="server" to be able to set properties like CssClass on it. If you just want a plain link you can add an anchor tag instead.
lblclick.Text = "<p>See what our page looks like by clicking
<a href=\"" + link + "\" class=\"linkclass\">" + link1 + "</a></p>"
Actually, if you want a link to another page you shouldn't use LinkButton at all, but rather the HyperLink class. You can use the NavigateUrl property to set the url to open when clicking the link.
If you want to add it to your markup you do it like this
<asp:HyperLink
NavigateUrl="http://www.example.com"
CssClass="linkclass"
Text="link1"
runat="server" />
and if you want to do it dynamically in code you add it by creating it and adding it to your Controls collection.
HyperLink link = new HyperLink();
link.NavigateUrl = "http://www.example.com";
link.Text = "link1";
link.CssClass = "linkclass";
Controls.Add(link);
Just remember that when you add controls dynamically you should add it in your Page_Load event every time you load your page. If you don't want it to display set its Visible property to false and change it to true based on an event or something. Perhaps not as important when using a HyperLink, but good practice nonetheless. An example of when dynamic controls bite you if you don't is this question asked recently.