Cliquez ici
This is the most natural and widely understood way to say it.
However, depending on the context, you might also use:
* Cliquez sur ce lien (Click on this link)
* Suivez ce lien (Follow this link)
* Consultez ce site (Consult this website)
These are all more formal options than "Cliquez ici" and might be better suited for written materials or professional communications.