Links to external websites

You know how you can save a link to your desktop/pc, as a shortcut, so when you double click, it opens the web browser and takes you to that link's website. I tried saving this into M-Files, but it tells me that it can't because "There are no source files available. No Documents will be created"

How can I save a link like this to M-Files so the users can double click and open.

I'm not talking about M-Files Documents links.

Thanks,

Moises