Linking to a Document from Inside a SharePoint Document Library
Ever wanted to add a link to a document or another site from inside a SharePoint document library? Well, the solution is available out of the box and it just requires that the Link to Document content type be enabled for the document library.
Go to the document libraries settings -> document library settings click on advanced settings

in the Document Library Advanced Settings Page make sure that yes is selected in the Allow Management of Content types.

Return to the settings page.
Under the content types section select add from existing content types.

Select the link to a document content type.
Use: From the document library click on the new button drop down and select Link to a document.

You can now add a document library item that links to a URL .