you need to have an object to act as an action button for the hyperlink
as an example; draw a circle from the shapes from the toolbar
ensure its selected - it will show adjustment handles at the corners
open the inspector ( alt cmd I ) select the hyperlink tab
enable the hyperlink check box - a blue arrow will show on the object
in link to drop box select keynote file
click on choose and navigate to an other Keynote file
play the keynote and mouse over the button shape, it will change to a a pointed hand
click the object and it will open the 2nd file
