Navigate to where the Mediasite recording is located (it may be located in a MySCU site). You will be presented with the below screen.
To access the link click the links button, it will change the display of the page and show all links attached to the video.
Alternatively, if you are watching a video and wish to view the links. In the bottom right corner of the video there will be a i in a circle. Click it to bring up the area where the links are located, once you click onto a link it will open up into a new tab within your web browser.