You shold add script which triggered event after the DOM is ready:
echo CHtml::ajaxLink(
'linkText',
'url',
array('update'=>'#conteinerId'),
array('class'=>'activeTabLink')
);
Yii::app()->clientScript->registerScript(
'ajaxTabLinkScript',
'$(function(){ $(".activeTab").click()})',
CClientScript::POS_LOAD
);
Pay attention to CClientScript::POS_LOAD
parameter. Thanks to him, this function is performed after to link is added the update event.