Here's a small solution for those of you lucky enough to have MOSS 2007. It will not work if you only have WSS 3.0 installed.
This project will add a browse button to all Link fields in your SharePoint Lists by using the AssetUrlSelector control. For more information about this see: Working with the AssetUrlSelector
Assembly, browser-file and instructions
Code project (VS 2008)
The installation instructions are contained in the download above. Deploy the browser file to the App_Browsers folder of the SharePoint Web Application (IIS Web Site) and drop the assembly in the GAC.
Note: I have been getting comments about the button not appearing. The issue seems to be related to the App_Browsers\compat.browser file. Just open that file in Notepad and save it. This somehow forces the Web Application to reload all browser files and the button will appear.
Note: If you have multiple browser files already you might have to repeat the above step for each of them...
This functionality uses the Publishing features in MOSS 2007 and will not work on a WSS 3.0 only environment.
Feel free to modify or improve the code.
No need to reconfigure your Lists or Columns. It is active on all existing and new fields as soon as you have run through the deployment.
I couldn't get the browser-file working with a WSP file (using WSPBuilder) so the deployment is still a manual process.