It sort of depends on which set of controls you're using, but most likely you're looking for something like "event.item.@link", where the "@" signifies "attribute" -- for example:
<mx:Script>
<![CDATA[
import mx.events.MenuEvent;
private function onMenuItemClick(event:MenuEvent):void
{
trace(event.item.@link);
}
]]>
</mx:Script>
<mx:PopUpMenuButton itemClick="onMenuItemClick(event)" labelField="@label">
<mx:dataProvider>
<mx:XML xmlns="">
<module label="Executive Library" >
<node label="Document one" link="http://www.google.com" />
<node label="Document Two" link="http://www.google.com" />
<node label="Document Three" link="http://www.google.com"/>
</module>
</mx:XML>
</mx:dataProvider>
</mx:PopUpMenuButton>
Here, I'm just using your XML (minus the root node) to populate a PopUpMenuButton's dataProvider, and capturing the itemClick event that way. Hopefully that's what you're doing as well -- post back and let me know if you have any issues.