Of course, a button which does nothing when clicked is a lot like a broken clock - useless. And the guys who created Flash knew this too - which is why they built in a whole bunch of "actions" that you can attach to your button. One of the most popular of these is the "Get URL" action, which directs the browser to open a new URL.
To attach the "Get URL" action - or any other action - to your button, right-click the button on the Stage, and select "Actions" from the pop-up menu. From the window that opens up, double-click the "Get URL" item in the Basic Actions section – Flash will write some code on the right side of the panel, and display a couple of text fields at the bottom for you to enter the URL and the window name(if any).
Once you've entered a URL, you can see how it works with the button below - it will open a new Web site in a new browser window.