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There's currently no direct way to do that, but you could do it manually. First, create a document item where you want to create a link (one way would be to copy/paste the .urd file from Explorer into the tree). Then copy the item to link to and paste it into the URL attribute (Ctrl+4) of the new document item. Now selecting that item and Ctrl+J or Item | Open Document will open the item in the other database.
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