You are done with \/, that is, it will go to the last slash. Delete the final \/one and it will work:
$ echo ' <a href="http://www.mylink.com/help/rss.php" target="_top" title="RSS">RSS</a></div>' \
> | sed 's/ <a[^>]* href="[^"]*/ <a href="\http:\/\/www.someurl.com\//g'
<a href="http://www.someurl.com/" target="_top" title="RSS">RSS</a></div>
, ( / , ):
$ echo '<a href="http://www.mylink.com/help/rss.php" target="_top" title="RSS">RSS</a></div>' \
> | sed 's|<a[^>]* href="[^"]*|<a href="http://www.someurl.com/|g'
<a href="http://www.someurl.com/" target="_top" title="RSS">RSS</a></div>