This is actually quite easy:
See this section. http://webwork.maa.org/wiki/HtmlLinks
You can link to anything you can link to on a web page. Using the htmlLink()
macro insures that the hardcopy version won't be messed up and will print out something reasonable (usually a printed url or the link name).
You can place these links in the problem, or you can place them in the "set info" box which describes the homework set.