It depends what you mean by a "link". There is at least one COTS product out on the market that allows you to do this via hyperlinks. I've built a few integrations before where we built a "link" using the COM SDK (same thing can be achieved with the .Net SDK).
Sure thing. You can do just about anything with the TRIM SDK. Though what you're talking about is moreso an app for that other program or a windows protocol handler. Might be worth looking at purchasing a COTS product, to save having to develop something custom.
You could also just try and paste direct HP TRIM Web Client (or webdrawer) links directly to the documents.