You can do this using the external tools module that comes with Gedit. Select Tools> Manage External Tools. Create a new tool by clicking the small icon +in the lower left corner and name it “Open Link” (or whatever). Use the following code in the box Edit(assuming you are using Firefox):
#!/bin/sh
xargs -I '{}' firefox '{}'
, Input Current word. , (URL), Tools > External Tools > Open Link .