Look in the Encore forum. There are several threads about this topic.
As the excerpt states, web links only work with certain kinds of exports. DVD video is not one of them. They will not work in Encore going to a DVD.
Okay, let me answer my own queston for the benifit of anyone that might stumble across this in a search. I arrived at the conclusion by outputing a file and posting it to my wifes website to see if it works.
The feature inside Premiere Pro where-in you add a marker to the timeline, double click the marker and check the weblink box and insert the URL does not accomplish the task of creating a clickable hyperlink inside the movie. Okay. You do all of that what I just wrote and then I guess according to the manual you have to export a Quicktime movie. This information is vague. I just used straight out QT NTSC DV. I didn't try any other file type. But the manual says Quicktime is a format that supports the feature so that is what I used. Here is what you get. The movie plays in the web page and when it arrives at the weblink marker the movie stops playing and your viewer is navigated away from your page and your movie to the web page that you inserted as the URL. Not a seperate window. Same window you where in but a differnet page. What??? I'm not clear why anyone would go to the trouble of making a movie only to purposely navigate the viewer away from it half way through or where ever you put your marker .....unless of course you put it at the very end. So that is what this feature does. It will take your viewers somewhere else when your movie is finished playing. There is no dialogue, or clickable link inside the movie. Just a sudden departure to another site or page. Useful but not what I was looking for.
I guess you have to embed your movie in a Flash project and create your text or image hyperlinks in there. Output to some format and maybe that will work. I don't know Flash very well.