Give your tab links like the following code itself. The links should be replaced with your own links. The rest will be handled by JS (it will store those links internally and remove them from anchor elements as you've mentioned).
Code:
<ul id="countrytabs" class="shadetabs">
<li><a href="#" class="selected" rel="#default">Tab 1</a></li>
<li><a href="external2.htm" rel="countrycontainer">Tab 2</a></li>
<li><a href="external3.htm" rel="countrycontainer">Tab 3</a></li>
<li><a href="external4.htm" rel="#iframe">Tab 4</a></li>
<li><a href="http://www.dynamicdrive.com">Dynamic Drive</a></li>
</ul>
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