The real question is what is your delivery format?
You can do this on a DVD, assuming its played on a PC hooked to the internet (or alternatively, you can put the web pages right on the DVD if you might have PCs that don't have internet access). Go to www.sonic.com and check out their eDVD product.
You can also embed meta commands to bring up a web page within a WM movie, but the WM player has to be enabled to allow this (and if I recall, the default is to not allow it).
The video will be put onto a business card CD-ROM and they would like to also incorporate the video onto their website. They have not provide a direct answer, but I would assum that they will use *.mov or *.wmv. Maybe flash.
What I would do is use a program like Multimedia Builder Then you can build a small application that will have the video and the web link that will look somewhat like This The link won't acutally be a part of the video, but it will always be on the page so the user can click it at any time. The CD will autostart and the little box will pop up and automatically start playing the video. We use this program for tons of our clients to make simple little applications like this. It's quick, cheap, and looks good :)