A linking verb is a verb that<u> establishes a connection between the subject and the subject complement</u>, which follows the verb and describes the subject. <u>A linking verb does not describe an action</u>. In this sentence, "is" is connecting "which", which refers to "Phoenix", with "the capital of Arizona", showing, in that way, a relationship between the two words.
A linking verb, as the name itself says, is used to link, or to connect parts of a sentence. In this sentence, there are two verbs - went and is. However, went is not a linking verb but rather a main verb. This means that the linking verb is IS.
Here, Hamlet is using a metaphor. Metaphors compare two things, yet differ from similes in that they don't use "like" or "as." He is comparing Denmark to a prison, meaning that he feels that the city is confining and bleak.