OneNote only exports MHTML.
What kind of stuff are you linking to (Web? Files? Other OneNote stuff?)
The links should work in this way:
1. Web links should link to the websites, so your browser should go there.
2. Links to OneNote content will link to the content in OneNote, so your browser should try to open OneNote, which will then try to open the appropriate page in your notebook.
So, if you export a link to another page in OneNote, the link will try to open in OneNote (not in the other exported HTML).