I don't actually use Construct but this also took me quite a while to get so I thought I'd share. Here's how to open up links inside CocoonJS:
Include CocooJS.js and CocoonJS_App.js in your html file
<script src="js/extensions/CocoonJS.js"></script>
<script src="js/extensions/CocoonJS_App.js"></script>
CocoonJS.App.openURL(yourUrlHere);
You might need to change the <script> tag to point where your CocoonJS.js and CocoonJS_App.js files are.
Cheers!