"Are you saying there would be clickable areas in a movie itself? Like an mp4  video? Or is this jumping from web page to web page?"

The clickable area will not be in the movie itself. But you will be able to add triggers (That being text or images) on top of the movie and through these it would appear as if it was the case. So it works kinda like layers, so for instant if you had a hallway and you wanted the viewer to choose which way to go, you would add triggers to each direction and put these on top of your movie and the viewer would be able to click them. And based on what is chosen you can move the story along.

So you have different ways to do it, either make it kinda like a "point and click" game where you click something on the movie clip or you could show the options as text explaining each possibility beneath it or where ever you want it to be.  

1. Go North

2. Go West

3. Speak with Jacob

etc.