The URLs in IM windows can be made clickable through a Group Policy called “Allow Hyperlinks in instant messages”
This setting enables Microsoft Office Communicator to replace Internet and network paths with hyperlinks in instant messages. If you enable this policy setting, Communicator will allow active hyperlinks in instant messages.
Note: You can configure this policy setting under both Computer Configuration and User Configuration, but the policy setting under Computer Configuration takes precedence.
You can download the Communicator 2007 documentation, which provides communicator.adm. Copy communicator.adm to your %windir%\inf directory. Import the communicator administrative template and then edit the policy from there.
If you are using Office Communication Server R2, you will need to make sure that the Intelligent IM filter is configured properly, otherwise the hyperlinks might not be displayed between users.