Generally, you want to provide a link to your site, not the plugin link. If you click the "other notes" tab on the plugin page, you'll go to this page here: http://wordpress.org/extend/plugins/wp-glossary/other_notes/
If you want a word to link to a glossary term, you need to wrap shortcode text around it like so:
when you hover over that word, it will show you the definition. To see a list of glossary terms on your site, you'll need to add a link to:
If you read the rest of his page, he outlines all the shortcodes for putting a glossary on whatever page you want.