When something appears as a link or heading in a report for example, then it's normal to capitalise. But when discussing it in general, then I wouldn't bother. For example there is a link below saying 'Learn English Online'. If I was discussing the screen I would say, "The screen contains a link to learn English online." On the other hand, if I was documenting the screen, then I would say, "The screen contains the following link: 'Learn English Online'".
Hope that helps.