Extra hint: At Advanced - Configuration - Key Mapping there is the command FileOpenFileUnderCursor. If you associate a hotkey to this command you can open a url in your files by a single key stroke. You don't need to select the url, if the cursor is anywhere inside the url.

And with an appropriate syntax highlighting definition you could highlight all strings starting with http or ftp with color blue and underlined. They are still not real links, but they would look so.

PS: Selecting a url or a file name is only required if the automatic string detection fails - see How to open a highlighted file name.