Fix broken link to democracy pallet. (#7026)

Old link was broken, and I put a new one.

substrate/frame/sudo/README.md

@@ -61,10 +61,10 @@ You need to set an initial superuser account as the sudo `key`.
 
 ## Related Modules
 
-* [Democracy](../pallet_democracy/index.html)
+* [Democracy](https://github.com/paritytech/substrate/blob/master/frame/democracy/README.md)
 
 [`Call`]: ./enum.Call.html
 [`Trait`]: ./trait.Trait.html
 [`Origin`]: https://docs.substrate.dev/docs/substrate-types
 
-License: Apache-2.0
\ No newline at end of file
+License: Apache-2.0