If you're not running a GUI in Linux (as most people running Linux servers never install X Windows) There's obviously nothing to 'click' on.
Those are simple HTML files. You can use a webbrowser to view them. You can install a webserver on your Wowza server if you want, then just point the doc directory to where the example files live. Or, you can just copy the example files to a webserver that you have and edit the HTML code in those file to point to your Wowza server.
Most of the example docs are kinda written for windows users... or those who are use to clicky pretty gui's. So if you're not a 'clicky pretty GUI' person then you'll have to do a little tweaking to be able to use the examples. By far just tossing Apache on the Wowza box is quickest, but does prevent you from using port 80 for Wowza.