I have a big archive of bookmarks in Windows .URL file format. Under gnome I couldn't find a way to open the link automatically out-of-the-box.
After searching for an hour or so, I found a script that could do it for me.
#!/bin/sh firefox `cat "$1" | sed '/^URL/!d;s/^URL=//'`
Just copy it into a text file and set default handler to your file.