Open MyMediasite and Login. Select the video that you wish to add a link to, then click edit along the top.
Scroll down and you will be presented with an area to add a link. Click into the Add a link section this will change to 2 different fields. Fill them out as necessary, click add (marked by the red arrow). Then in the top right corner save the changes (marked by the green arrow).
You will now have attached a link to the video, for information on how to access links that are attached to a MyMediasite recording please refer to this article.