That depends on the requirements and the use case.
Technically it can be accomplished by adding URLs as text values in a drop-down and then calling "xfa.hots.gotoURL()" on the drop-down change event. For example,
var url = xfa.event.newText;
If you open the PDF in a browser (using the Reader plug-in) you will be directed to the URL. The same is not true if you open the PDF in Reader/Acrobat stand-alone.