Youtube videos can only contain links to other pages on youtube. If you want to link to your own site or a third-party site you are out of luck. But if you are hostning youtube videos on your site there is a service that allows you to add a button to the video with a link to any site of your choosing. You just go to their site and enter the video information, link information, button text, hover text, etc and they create a snippet of HTML that you can then include in your site. Once you do the youtube video will show up on your site and it'll include your button/link on the video.