On movie maker pro MX i'm making a menu screen for a film. In the menu screen i need a button which links to a special features section (deleted scenes, gag reel etc) so basically to a new movie. It only gives the option to link to a chapter within the movie or page in current menu etc.
I presume that you mean Movie Edit Pro and not Movie Maker from MicroSoft.
I don't have MX on my computer but I think that the process is the same. You need to have a second movie. There are tabs for this and probably only have the first tab. Click on the plus + at the right of the tab to create a second movie. Copy paste everything that you want from the first movie to the second movie. When all is good, delete this same clips from the first movie. Now when you go to burn, you will have a button for each movie. Each movie can contain its own chapters on separate page in the burn menu.
See this tutorial by John E. Baker under the Tutorials tab of this forum. There are others by Terry Pinnell about adding buttons and text.