Improve README by linking to documentation per client (#37064)

sdk/storage/azure-storage-file-datalake/README.md

@@ -92,26 +92,31 @@ objects are async context managers and define async `close` methods.
 #### Clients
 
 The DataLake Storage SDK provides four different clients to interact with the DataLake Service:
-1. **DataLakeServiceClient** - this client interacts with the DataLake Service at the account level.
+1. [DataLakeServiceClient](https://learn.microsoft.com/python/api/azure-storage-file-datalake/azure.storage.filedatalake.datalakeserviceclient?view=azure-python) -
+    this client interacts with the DataLake Service at the account level.
     It provides operations to retrieve and configure the account properties
     as well as list, create, and delete file systems within the account.
     For operations relating to a specific file system, directory or file, clients for those entities
     can also be retrieved using the `get_file_client`, `get_directory_client` or `get_file_system_client` functions.
-2. **FileSystemClient** - this client represents interaction with a specific
+2. [FileSystemClient](https://learn.microsoft.com/python/api/azure-storage-file-datalake/azure.storage.filedatalake.filesystemclient?view=azure-python) -
+    this client represents interaction with a specific
     file system, even if that file system does not exist yet. It provides operations to create, delete, or
     configure file systems and includes operations to list paths under file system, upload, and delete file or
     directory in the file system.
     For operations relating to a specific file, the client can also be retrieved using
     the `get_file_client` function.
     For operations relating to a specific directory, the client can be retrieved using
     the `get_directory_client` function.
-3. **DataLakeDirectoryClient** - this client represents interaction with a specific
+3. [DatalakeDirectoryClient](https://learn.microsoft.com/python/api/azure-storage-file-datalake/azure.storage.filedatalake.datalakedirectoryclient?view=azure-python) -
+    this client represents interaction with a specific
     directory, even if that directory does not exist yet. It provides directory operations create, delete, rename,
     get properties and set properties operations.
-3. **DataLakeFileClient** - this client represents interaction with a specific
+4. [DatalakeFileClient](https://learn.microsoft.com/python/api/azure-storage-file-datalake/azure.storage.filedatalake.datalakefileclient?view=azure-python) -
+    this client represents interaction with a specific
     file, even if that file does not exist yet. It provides file operations to append data, flush data, delete,
     create, and read file.
-4. **DataLakeLeaseClient** - this client represents lease interactions with a FileSystemClient, DataLakeDirectoryClient
+5. [DatalakeLeaseClient](https://learn.microsoft.com/python/api/azure-storage-file-datalake/azure.storage.filedatalake.datalakeleaseclient?view=azure-python) -
+    this client represents lease interactions with a FileSystemClient, DataLakeDirectoryClient
     or DataLakeFileClient. It provides operations to acquire, renew, release, change, and break leases on the resources.
 
 ## Examples