Here are a couple of searches that you can do on this forum that say you cannot put a web link on a menu based DVD and expect it to work as it is "player" dependant.

Linking to Web in Menu-based project

Enhanced option for DVDA?

As for a Data DVD, it should work just like a CD. You could make some html pages, burn them to a DVD, include an autorun.inf file that is coded right (searchable on google) to start up on your main page and have your entire site run from the DVD or you could make links to your site or email and when the user clicks on them from the DVD, it will attempt to open their browswer and use the internet if they have it.

Linking to Web in Menu-based project

Enhanced option for DVDA?