Web links are text links that open in a web browser. As well as web pages, a URL link can act as a 'mailto:' call or link to local files (using the 'file:///' protocol instead of 'http://'). Basically, a valid URI.
In all cases Finder will dictate whether a browser or some other application is used to open the URL.
The Create Link dialog includes a few extra inputs only pertinent to web links, as these are used during HTML export as HTML link parameters.
The same extra data can also be viewed/edited in the Browse Links dialog.
A web link cannot be created at note level (i.e. as in a basic link) but setting the $URL attribute is akin to doing this. if more than one such 'link' is needed, the user should add extra URL-type user attributes.