Retrieve the last 5 comment URLs

If you mean, the last 5 comments on anything:

$comments = get_comments( array( 'count' => 5 ) );
foreach( $comments as $comment ) {
    echo get_comment_link( $comment );
}

For a specific post or page comments, just change the $comments line to:

$comments = get_comments( array( 'post_id' => 1, 'count' => 5 ) ); // where the value of post_id is the ID of whatever post or page you want to retrieve comments from