Video files cannot have interactive elements like links. They are placed over the video in software like Flash.
The easiest thing to do is upload it to YouTube and use YouTube's tools to add links to the video.
What version of Premiere Elements are you using and on what computer operating system?
Although Premiere Elements is not going to support interactive links applied to your Premiere Elements video, have you considered exporting your Premiere Elements Timeline content to an appropriate format and then taking the file to a 3rd party software to apply an interactive Hotspot? Camtasia Studio 8: How We Use Hotspots
One example - this one appears to be written for Mac
I have not tried any of the above. Please let us know the outcome if you do give it a try. I am strictly an Elements Windows user.
how do i add links in it with youtube
i have a windows and the premier 13