All are correct and mean essentially the same thing. Each emphasizes a different aspect: "AT the link" refers to the place where you go to learn more. "ON the link" refers to what you see when you arrive there. "BY FOLLOWING the link" refers to the process you use to arrive there. "THROUGH the link" refers to the learning you can do once you arrive there.

you can learn more by clicking on the following link

Acceptable: 'You can learn more at the following link.' 'You can learn more by following the link.' (Notice word order change, i.e. by following).' 'You can learn more through the following link.' Unacceptable: 'You can learn more ON the following link.'