Yes, and it's fairly simple but you need to learn a bit about designing with Flash to be able to do it. One of the easiest ways is to use a textfield and assign a url to it as a link in the properties panel. Beyond that you will need to learn a bit about using code to have objects be clickable for that purpose.
I have an animation on my web site that already does this. Clickable links bring up a new window with the new URL. I'd like to do the same for a Flash Player version on CD.
This particular animation is at