It cannot be done in Vegas. Youtube allows 'annotation', but only to Youtube movies. RealMeadia (VMS can render to rm), allows it, so maybe you should read the RM help files.
I think I must agree with autopilot partially: insert command does the trick for wmv and rm media, but I thinkg flash conversions like youtube will not recognize it.
Also, the customer's player must be set to allow this functionality.