Is there a way to add a url(not to the file itself) to assets?
You can add any number of fields to your asset sources (just like you can for 'user groups', 'category groups', 'tag groups', or 'entry types'). Under 'settings > assets > sources', click a source (or create new); then click the 'field layout' tab and add your field (field needs to be created first); and save. For a url you would likely just use a textfield.

In your template you would access it with something like this:

{{ entry.myAssetsFieldHandle.first().myLinkUrlFieldHandle }}