I'm making a website with ethernet shield.
I wanted to click a link
Your web page, provided by the Arduino, needs to contain links. Does it? What does the Arduino do when a link is selected?
Example: zip file
What is the browser going to do with a zip file?
Click a link and do a task I know,
You haven't demonstrated this.
I just wanted the part of the SD.
The SD library comes with examples for listing the files on an SD card, and for reading from an SD card. Combining the relevant example with the web server code should be trivial. Read from a file and write to the client. Nothing really to it.