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.

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.