You can only do one link at a time (as far as I know). For FOLLOW ME I did the last one first, incorporated that link into the second-to-last eml file and so on all the way to the first. It took a long time.
In OE, the link icon is greyed until you select what you want to make into a hyperlink. For instance, if you want to make a photograph into a hyperlink, you have to insert it first, select it, and then insert the link. If you want to make THESE WORDS into a hyperlink, you have to type them and then select them and then click the icon and insert the link.
Keep in mind that I only guess you can do this stuff, try it, and sometimes it works. There are probably better ways.