I believe this used to be possible with the ModelCHECK (MC) Teacher function/feature where you could edit the local MC teacher .html files.
With Creo Parametric 4 M040, the teacher files are still there, but I don't see a way to access them via the MC GUI. If you could find a way to access the teacher files again, you could edit those .html files to add your links. We use PTC's online help (vs local installs), so when I click on the MC status icons in the MC report, a new browser opens the online help. If you use locally installed help files, you may wish to look at the possibility of editing the local help files.
The teacher files are in "\PTC\Creo 4.0\M040\Common Files\modchk\text\usascii\info\teacher"
In lieu of the teacher files, you could mapkey the running of MC and launch a web page first that includes all your help links.