There are 2 ways to do it.
You need to go to the edit stage first. Edit the capsule and highlight the word or phrase. You will see a link button near the save changes button. Click on that and it will take you to a URL box. Copy the url (web address) you want to imbed and paste it in the box. Then click save and follow the directions from there.
You can link your hub to other hubs. Go to the edit stage and look near the top left. You will see a Suggest links button in green. click on that 1st. Then go down to a key word or phrase and highlight it. The program will suggest other hubs you can link yours to with similar content. To get out of it go back to the top and click on hide links. That will take you to the origional edit stage with the words highlighted in blue.