You need editing software.
Suggest "Video Vegas 3.0" from Sonic Foundry.
http://www.sonicfoundry.com/
this will allow you to add titles, overlays etc.
There's probably a utility out there somewhere
that will do the same for batches of mpegs.
Alternatively, convert MPG/AVI into flash using Flix 2
which will allow you to launch URLs from the video.