Yes, you can add all sorts of links in OneNote.
Links from the internet can simply be pasted onto the appropriate page in OneNote.
Direct links to files on your computer is very easy on a PC but more difficult on a Mac and this is not covered on the course. You can however, ask questions relating to this on the weekly Q&A calls.
Section 4 of the course discuses how to add links from Canva designs to OneNote.