That's not a feature that's available in Premiere Elements.
It is usually part of a page's HTML or is set up on YouTube.
If you are talking about a DVD or BluRay disc, even Premiere Pro and Encore may not do that, since it is not part of the disc based specification
I have never done so, but I think you can do that with PPro/Encore if you create a Flash video that is hosted on a web site
What version of Premiere Elements do you have and on what computer operating system is it running?
As SG has pointed out, hyperlink for video is not a Premiere Elements feature.
The closest thing that I have ever seen to clickable links for Premiere Elements is the webDVD export which in
reality is a flash file with a menu (main and scene with navigational buttons).
How were thinking about exporting your video from Premiere Elements?