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You'll need software that can do this, do a search for "video editing software", there are many free ones that will do the trick. If you want to get more bells and whistles, you may have to pay for the program.
Most of the videos you will find online that have the ability to add links are made with Flash like on YouTube.
You may want to check out YouTube's site to learn about their Video Annotations [youtube.com]. I think this may save you some time.
You can make it a hyperlink in an HTML page if you wrap the image in an anchor tag. It's the HTML that is creating the link not the image. The image is just a resource compiled into a HTML page, by itself...no link.
Same for standard video formats, it has to be added by some other means. Any video editing software worth using is going to edit video, creating web content like a flash file with hyperlinks may be an extra feature in some applications but generally speaking they won't have that ability.
Most video tools that try to do many things usually fail miserably at doing anything good.