Do it the other way round, the anchor needs to wrap the div: http://jsfiddle.net/H2J9a/2/
Also, you don't need to escape the quotes.
In your case, the borders are pushing the anchor below the div, so you can either try making the anchor absolutely positioned so it floats above the div, or put the shape styles on the anchor itself. See it here: http://jsfiddle.net/H2J9a/6/.
This is an example of the anchor having the shape styles (the div is unnecessary here, although I kept it):
<div style="">
<a href="{0}" style="width: 0px;
height: 0px;
border-left: 7px solid transparent;
border-right: 7px solid transparent;
border-top: 12px solid #d1e8ff;
display: inline-block;
vertical-align: middle;">
</a>
</div>