If you know how to parse text in a scripting language it would be fairly easy. You would just take the URL and link name for each entry and output them as separate .URL files, using the link name as the outputted filename and the address as the content of the file. The .URL file format is very simple and can be viewed in any text editor. It might look confusing but you can actually just paste a URL into a plain text file by itself and then save it with the ".url" extension and it will work.