This was a feature in iWork 08. If you have access to the 08 version you can create your web page preview and then just open it in 09. (Here’s a link to a Keynote 08 sample file -http://bit.ly/Nn9ml8).
This process will not auto update your link to the website. You can’t click through the site either. In my opinion it’s quite pointless, just use a screenshot of your website.
Now it would be cool if Apple can imbed a stripped down version of Safari into Keynote.
Thanks, though I had come across similar links to Keynote 8. I agree, seems pointless to have an auto-update of a screen shot (unless there is some presentation relevance to having an update shot of an ever-changing site).
It would be cool if Keynote could keyhole (iFrame) Safari. It would be nice to make a presentation in which you are highlighting a feature or two of a website without leaving Keynote. It would help keep the flow and pace of the preso.