You can link any URL in any place on your hard disk. Open the Templates folder or use the menu File->New to copy/create a new URL.kdelnk file or something like this. Open the properties menu and enter the URL. That's all. If you have a link to this URL in a KFM window or in any app that supports DND, you may drop the link on every KFM window or on the desktop. Then click on Link in the popup menu and KFM will create a *.kdelnk file for you on the fly.