I think somewhere you are cancelling the page change, in one of the event handlers. I just tested all these methods and they work fine.
For instance, open our sample project and change this event handler:
private void infoWebSiteLabel_LinkClicked(object sender, System.Windows.Forms.LinkLabelLinkClickedEventArgs e) {
// System.Diagnostics.Process.Start(((LinkLabel)sender).Text);
this.Wizard.PerformNextButtonClick();
}
The run the sample and click the web site link on the Welcome page. It will change pages fine. That works and it also works if I replace the PerformNextButtonClick with SelectedIndex++.
Look through the various event handlers in your app because you are either cancelling the page change or forcing it to another page.