You'll need to use the Flash object in your project. It looks like a red square with the white "F" in the middle.
Set up an event that will activate your link. For example, you'll want the user to visit a website or send an email when they click on a button or active object or something.
In the properties of the Flash Object, you'll see something like "Open link" or something like that. When you choose that option, an editor box opens that lets you enter a website address or "mailto" address.
Hopefully this explains it. If you're not able to make it work, just reply here and I can go into more detail.