I just found some comments on Creative Cow’s forum that say that the external link to the Internet feature never worked in Encore CS4 and it doesn’t work in CS5 either. The best you can do is store html content pages on your encore dvd and link to those (which isn’t live Internet data). Drats.

http://forums.creativecow.net/thread/145/865295
http://forums.creativecow.net/thread/145/868633