Setting the Library for Links
Open the library
Click the Library Tab (1) then click Library Settings (2)
click Advanced Settings
Tick Yes
click Add from existing site content types
Select Document content types from (1) and Link to a document from (2)
Click Add
Populate the Library
Click New (1) followed by Link to a document (2)
Enter a document Name and a Link (please click “Click here to test” checks if your URL is valid)
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