A simple python script for KDE users which will use 'kde-open' to open those pesky Windows .url files in your default web browser.
Public Domain - This script is entirely too simple for me to care how it's used. Just enjoy it...
While Wine's rundll32 appears to do pretty much the same thing, it takes an unreasonably long time to launch on my system for some odd reason.
Place this script somewhere on your system path, mark it as executable, and set it as the default app to launch .url files.