No, this can not be done...
And because of security reasons this will also not be added to Plus! itself in they way you want (=> people could make a link saying "download new msgr now" but the URL would point to a fake and malicious program).
eg:
Download Messenger now
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However, if you put in a link in your the Personal Message (correct name for what you mean), it would be possible for your contacts to go to the link by right-clicking your name:
Right-click on contact in contactlist > Messenger Plus! Features > Open Internet Link > ...
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