When the grid outputs a link as its value, right clicking the cell would provide an option to "Open In Browser"
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Additionally, this same functionality could be customizable (perhaps a customize context menu section within SQL Prompt options) to allow for other applications, wherein the highlighted/cell value is passed as a parameter to a given application. This would be similar to the External Tools, which is provided within SSMS, but having that option right there in the context menu would be gold.

So, in the case of a URL, I right click the cell, choose Open In Browser, and then browser fires up with my URL.