How can make segments based upon a clicked links?

You can make qustom fields or move/copy subscribers on another list based upon a specific link on certain email campaign. You can find this function on Setup Email Campaign > Step 3 "Template".

To change a value on Custom Fields:

First go to List > Create a custom filed and set default value blank.

Now go to campaign and on Step 3 "Template use a button: "Change subscriber custom field on link clicked" > in that select URL, custom field and set its value Y. "Action against subscriber on link clicked"

Then run campaign. When you receive that email, Click on that URL. Then go to list : subscriber : you will see Y in custom field.

To copy/move a subscriber at another list.

At Campaign setup, Step 3 "Template" > use a button: "Action against subscriber on link clicked" > And choose the list where the subscriber will be copied/moved.