Google's UI service is deprecated as of Dec. 11, 2014. See here.
You should now use the HTML Service. The code to display a message with a link is below.
var htmlOutput = HtmlService
.createHtmlOutput('Go to <a href="https://www.google.ca/">this site</a> for help!')
.setWidth(250) //optional
.setHeight(50); //optional
SpreadsheetApp.getUi().showModalDialog(htmlOutput, 'Help Dialog Title');
It appears Google Sheets won't run scripts for anyone who opens a public spreadsheet (obviously for security). If you want to see a live version of the dialog, just copy the above code into function onOpen() {}
in the script editor, save & refresh the spreadsheet. Otherwise, it looks like the image below.

If you have more HTML than a simple link, you can also create a dialog from an HTML file. In the script editor, select File > New > Html file and name it "index" (or whatever you want and change file name in code).
var html = HtmlService.createHtmlOutputFromFile('index');
SpreadsheetApp.getUi() // Or DocumentApp or FormApp.
.showModalDialog(html, 'Dialog title');