Linking to the web is done just like any other link. The only difference is the address is not a path to a file on the hard drive, but a URL to a page on the web. Link to web pages using hyperlinks or action settings.
Clicking a link to a web page opens the page with the default browser, as long as the Internet connection and the web page are both available. To insert web pages and have them surfable from within PowerPoint, try out PowerPoint MVP Shyam Pillai's LiveWeb add-in. Information and download links are available on his site at http://www.mvps.org/skp/liveweb.htm.