I've made this, it adds an "open with" submenu to the chat window's right click, so you can highlight a link (or any other piece of text, like the address to a file on the hard drive) and open it with programs that you have set.
It would work best in the newest SVN, because of the automatic link selection Kakaroto added.
I've only tested it with svn's amsn and tcl/tk8.5, but as far as I know it should work with others too. However I'd like some more people to test it first.
The code is a bit, um, "improper" at some parts but it works. I also wanted to add the option to choose how many other programs you'll be able to set, but for the same reason as this "improperness" I couldn't. If I figure out how to solve that problem I'll try to do that too.