Clinton questions are good ones. Also would you mention the version of Moodle?
For some good reasons, html linking from within and from without a Moodle site has diminished from Moodle 1.5 . I did play with our production 1.5 Moodle ("If it ain't broke, don't fix it") site and with demo.moodle.org , just to remind myself of the complexity of your simple question.
There was some talk back when I was a young Moodler about a library of shared lessons on a site. The lessons would be located in a course (Review Course) available to all students. Teachers could place a link to a Lesson in the Review Course inside their course via a link in the content of a lesson page, or on an web page resource or paste the link in a forum thread. A label would not be much different than an web page resource. The student had to be enrolled in the Review Course. As I recalled it worked. And then Moodle upgraded (to 1.6 or was it 1.7) and all was lost. Along with the ability to put an html link to an image in an activity or resource title.
My guess is while some internal links may work, others will not (thus Clinton's questions). I suspect that external links could bring you to the right course after forcing a login, but not the specific lesson. However, if browser history was not cleared of a key cookie, your test might give different results. We can try to help but you will have to jump off the cliff and swim with the sharks to see if it will work in your world.
Treading water and standing by - Chris