A URL is external to the application. Even if the resource you link to requires Authentication, none of that matters unless the user clicks on it. This is unlike how img SRC attributes and the like actively make a call to the URL they reference.
Can you provide a sample of the code you're using to display the URLs? I'm envisioning something like:
<a href="http://domain.tld/file.cfm" title="Link to page">Link to Page</a>
