One of the new features available in SharePoint 2007 are content types.  Content types allow you to classify content to be a particular type.  By marking content as a particular content type the metadata, workflow and policies associated with that content type are leveraged instead of default policies that may apply to a standard document.  One of the content types available is called 'Link to a Document'.  This content type allows you to store a link to a document in a document library instead of the document itself.  This comes in handy for documents that are stored in an http(s) referenceable location.  When an item is added to a document library and it is classified as a 'Link to a Document' content type an .aspx page is created and stored in the document library as a file.  This page is used to redirect the opening of the file to the location where the document link actually resides.  The content of the .aspx file is shown below.

<%@ Assembly Name='Microsoft.SharePoint, Version=12.0.0.0, Culture=neutral, PublicKeyToken=71e9bce111e9429c' %>
<%@ Register TagPrefix='SharePoint' Namespace='Microsoft.SharePoint.WebControls' Assembly='Microsoft.SharePoint' %>
<%@ Import Namespace='System.IO' %>
<%@ Import Namespace='Microsoft.SharePoint' %>
<%@ Import Namespace='Microsoft.SharePoint.Utilities' %>
<%@ Import Namespace='Microsoft.SharePoint.WebControls' %>

<html xmlns:mso="urn:schemas-microsoft-com:office:office" xmlns:msdt="uuid:C2F41010-65B3-11d1-A29F-00AA00C14882">
<Head> <META Name='progid' Content='SharePoint.Link'>
<!--[if gte mso 9]><xml>
<mso:CustomDocumentProperties>
<mso:URL msdt:dt="string">http://moss.litwareinc.com/docs/my.xls, http://moss.litwareinc.com/docs/my.xls</mso:URL>
<mso:ContentType msdt:dt="string">Link to a Document</mso:ContentType>
</mso:CustomDocumentProperties>
</xml><![endif]-->
</head>
    <body>
        <form id='Form1' runat='server'>
            <SharePoint:UrlRedirector id='Redirector1' runat='server' />
        </form>
    </body>
</html>

If you want to create a 'Link to a Document' item programmatically, you can duplicate this file and replace the following string with the Url that matches the document where you want the item linked.

<mso:URL msdt:dt="string">http://moss.litwareinc.com/docs/my.xls, http://moss.litwareinc.com/docs/my.xls</mso:URL>

Create a template .txt file for this with the code below so that you can easily replace the url with your content link.  Notice the reference to {0}, {0}.  This will be used as a string replacement placeholder in the code snippet that will create the item in the document library.  In this example I have saved the file locally to the c: drive as linktodocumenttemplate.txt.

<%@ Assembly Name='Microsoft.SharePoint, Version=12.0.0.0, Culture=neutral, PublicKeyToken=71e9bce111e9429c' %>
<%@ Register TagPrefix='SharePoint' Namespace='Microsoft.SharePoint.WebControls' Assembly='Microsoft.SharePoint' %>
<%@ Import Namespace='System.IO' %>
<%@ Import Namespace='Microsoft.SharePoint' %>
<%@ Import Namespace='Microsoft.SharePoint.Utilities' %>
<%@ Import Namespace='Microsoft.SharePoint.WebControls' %>

<html xmlns:mso="urn:schemas-microsoft-com:office:office" xmlns:msdt="uuid:C2F41010-65B3-11d1-A29F-00AA00C14882">
<Head> <META Name='progid' Content='SharePoint.Link'>
<!--[if gte mso 9]><xml>
<mso:CustomDocumentProperties>
<mso:URL msdt:dt="string">{0}, {0}</mso:URL>
<mso:ContentType msdt:dt="string">Link to a Document</mso:ContentType>
</mso:CustomDocumentProperties>
</xml><![endif]-->
</head>
    <body>
        <form id='Form1' runat='server'>
            <SharePoint:UrlRedirector id='Redirector1' runat='server' />
        </form>
    </body>
</html>

Once you have that file in place the following code snippet can be used to create the item in the document library.

using ( SPSite siteCollection = new SPSite( "http://moss.litwareinc.com" ) ) {
    using ( SPWeb web = siteCollection.OpenWeb( "docs" ) ) {
        SPList list = web.Lists["Sample"];

        //link to the file
        string fileLinkUrl = "http://moss.litwareinc.com/docs/Shared%20Documents/ConfigureIRMinWSS30.doc";

        StringBuilder builder = new StringBuilder();

        using ( TextReader reader = new StreamReader( @"C:\linktodocumenttemplate.txt" ) ) {
            builder.Append( reader.ReadToEnd() );
        }

        //replace string template with values
        builder.Replace( "{0}", fileLinkUrl );
        
        //should change the name of the .aspx file per item
        SPFile file = list.RootFolder.Files.Add( "link_title.aspx", UTF8Encoding.UTF8.GetBytes(builder.ToString()));

        //set list item properties
        SPListItem item = file.Item;
        item["Content Type"] = "Link to a Document";
        SPFieldUrlValue itemUrl = new SPFieldUrlValue();
        itemUrl.Description = "From sample code";
        itemUrl.Url = fileLinkUrl;
        item["URL"] = itemUrl;
        //persist changes
        item.Update();
    }
}