Recently I was asked by one of my customers to help them with a solution to allow uses adding link to documents on their shared folder, OOB "Link To Document" contnet type can be used to add a link in document library refrencing documet in another document library, if user tries to add a URL with differnet schema (e.g. FTP, File) the form simply does not let the link to be added.

Solution
  1. Create a custom aspx page based on "NewLink.aspx" under 12 hive\Template\Layouts folder and call is "NewSharedFolderLink.aspx"
  2. In "NewSharedFolderLink.aspx" modify ValidateInput() and TestDir() as follows:

     function ValidateInput()
     {
         var form = document.forms.<%SPHttpUtility.NoEncode(Form.ClientID,Response.Output);%>;
         var folderUrl = form.<%SPHttpUtility.NoEncode(UrlInput.ClientID,Response.Output);%>.value;
         var name = form.<%SPHttpUtility.NoEncode(NameInput.ClientID,Response.Output);%>.value;
         if (name == null ||
             folderUrl == null ||
             typeof(name) == "undefined" ||
             typeof(folderUrl) == "undefined" ||
            name.length == 0)
         {
             alert(L_EnterValidUrl_Text);
             return false;
         }
         if (name.length > 128 ||
             name.length  + folderUrl.length > 260)
         {
             alert(L_ItemOrFolderNameTooLong);
             return false;
         }
         return true;
     }
     function TestDir()
     {
         var form = document.forms.<%SPHttpUtility.NoEncode(Form.ClientID,Response.Output);%>;
         var folderUrl = form.<%SPHttpUtility.NoEncode(UrlInput.ClientID,Response.Output);%>.value;
         if (folderUrl == null ||
             typeof(folderUrl) == "undefined" )
         {
             alert(L_EnterValidUrl_Text);
             return;
         }
         try
         {
             var form = document.forms.<%SPHttpUtility.NoEncode(Form.ClientID,Response.Output);%>;
             window.open(form.<%SPHttpUtility.NoEncode(UrlInput.ClientID,Response.Output);%>.value,'_blank');
         }
         catch(e)
         {
             alert(L_EnterValidUrl_Text);
         }
     }
  3. Create a custom content type based on "LinkToDocument" content type:

    <?xml version="1.0" encoding="utf-8" ?>
    <Elements xmlns="http://schemas.microsoft.com/sharepoint/">
    <ContentType ID="0x01010A00E1834F80FD414751B021043FCC088B74" Name="SharedFolderLink" Group="$Resources:Document_Content_Types" Description="Shared Folder Link" Version="0">
    <DocumentTemplate TargetName="/_layouts/NewSharedFolderLink.aspx" /> 
    </ContentType>
     </Elements>
  4. Package everything as a feature install and activate it on your site
  5. In document library add the "SharedFolderLink" content type

Update: A sample solution package can also be downloaded from here to install the custom content type.