Have you selected an option of opening the URL in a new browser window? This can be checked in the dropdown which is available just beside the "on success > URL" option in Click box.
If yes, please confirm that pop ups are not blocked on your systems. This might sometimes prevent from opening the URL.
If Mukul's suggestion doesn't seem to work, it's probably the Flash Player Security Settings blocking the link.
I saw that tutorial, but I think that it isn't the answer to my problem.
I want to put my file swf in a web and put a image as a watermark with a click box for linking to an url. Is what I want to do clear?
Thanks and sorry for my bad english.