This has nothing to do with Three.js. Anyway, just pass a function variable/member like you would do other controls... It will create a button with your function in onclick. Example:
var obj = {};
obj.sampleNumber = 1;
obj.sampleLink = function() {
window.open("myfile.html");
}
var gui = new dat.GUI();
gui.add(obj, 'sampleNumber', -5, 5);
gui.add(obj, 'sampleLink');