If you paste the entire URL in the URL field (including http:// or https://), then the Type filed will automatically populate. If the URL you entered doesn't contain the Type, it will default to http://. You can also create an email link by entering the email address of the recipient and choosing "mailto:" form the Type drop down.
You can also make the link open in a new browser window if you don't want the user to navigate away form the calendar. Simply open the Target drop down menu and select "New Window".