In order to add a hyperlink to a task, you need to apply first the Hyperlink table from the menu Project – Table. Then you can change the Hyperlink Address field.

You can also use the Insert column feature. Insert Hyperlink and Hyperlink Address field in Gantt Chart, then edit them.

For a file from local device, in Hyperlink Address field insert the path to the file like this: file:///C:/Users/UserName/Desktop/PDFName.pdf

For a file from cloud or web address, in Hyperlink Address field insert the path to the file like this:
https://docs.google.com

In Hyperlink field add the name of your file.