I don't think anyone has answered because I am not sure what you mean by a hyperlink. Do you mean when using Windows Medai Player it will send them to a web page? Do you mean put a desktop icon on your desktop to jump to a project? Just let me know a little more and I am sure someone will have some help for you.
Yes I know how. I was going to write a tutorial, lets see if we're talking the same language first. You want to jump to one or more web pages from a streaming video, that's one thing. To do the same from a DVD playing is a different matter.
I'll assume you want to do the first. If so, you do need to know something about HTML, not a lot but enough to make the pages you are going to "jump" to. You are also limited to formats that support embedding HTML. Windows WMV format is a good choice.
For Vegas click on Insert, then command.
Now for a real time example visit here which shows how it is done, but with that "P" thing. The tutorial is kind of cute. Once you look at it, click on the link above it where you'll see another real time demo "weblinks tuytorial" that shows the HTML part, and what to do with "P", just change that step to what I said earlier. If there is enough interest I'll add it to my things to do list and write a tutorial, when I can't say.