Hi @Mark_Potter - Welcome to the forums.
An HTML embed allows you to insert HTML into a page. So you need to provide the correctly formatted HTML you wish to render. There is no magic done for you. If you place a link in the EMBED without HTML, it will display the text you entered. If you place a valid HTML link, it will display it. The browser is the renderer of this EMBED, not webflow. If you are trying to FRAME content from another URL, you will need to use the correct HTML to do so.
It sounds like you want to insert an Inline Frame into the EMBED. You can read more about how this is done in HTML at the link below.