There are two cases to consider here:
1) Linking to other data dynamically across your dashboards - that how-to can be found here. By enabling runtime filters you will be able to dynamically link detailed data to your insights
2) If you are looking to link to another site. This is done in the pill properties, but only one site may be entered per column.
@elsayed_ali I think you'll be able to accomplish this with the URL property. I've created an example where I use the State column value to dynamically link out to the corresponding Wikipedia page.
Add in the field you wish to use as a measure or grouping dimension column, and then expand the properties so you see the URL field. In my example, I typed in the first part of the Wikipedia URL, and then I drag and dropped the State field from the left side of the screen into the URL text box. This will automatically add the fully qualified column name in the curly brackets. That lets Incorta know that you want to pass the column value you clicked on as a part of the URL. Save the Insight, and then click on the column value to see the pop-up for the link.
After clicking on the link, I am successfully taken to the Wikipedia page for California.
Hopefully that helps!