Setting the Library for Links
Open the library
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Click the Library Tab (1) then click Library Settings (2)
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click Advanced Settings
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Tick Yes
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click Add from existing site content types
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Select Document content types from (1) and Link to a document from (2)
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Click Add
Populate the Library
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Click New (1) followed by Link to a document (2)
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Enter a document Name and a Link (please click “Click here to test” checks if your URL is valid)
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Done!
Note that if you do this to Documents Library of a site/subsite and after you create a child subsite, this will not effect the default Documents Library of that child subsite