Moodle folders can only contain files. It is not possible to add a URL link as in item within a Moodle folder. There are a few ways to get around this limitation.

Edit the Moodle folder "Description" and enter the URL links within the text box. When a student clicks on the folder from the main page of Moodle, the description text, including the links, will appear at the top of the folder page.
Replace the folder with a Moodle page. In the page, add the URL's to the body of the text. For the files that would have been contained in the folder, individually link them using the chain tool (see instructions below).

Adding Links to a Moodle text box

With editing turned on, edit the folder settings.
In the "Description" box enter the link text. For example, if you wanted to link to Google, you would type Google
Select the text and click on the "chain" icon on the text editor toolbar.
Enter in the URL for the link. For example, if you wanted to link to Google, you would enter http://www.google.com
If you want to link to a file, click on the "file browser" icon to the right of the URL box and upload or select a file.