I use Mendeley to organize and view articles (pdf files). It is almost good, however I wish something similar with one additional feature. A software to make a link for every reference in the Reference section of any article I read (not my own articles) and when I click on the link it searches the web for it, or if it has a downloadable version, directly points to that file and if it is already exists in my articles opens it.
Digital Object Indentifier (DOI) names might be a possible solution. Sometimes article citations in major databases come with them - if so, you can use them to directly access the paper (in a web browser, at least).
For example, for Claude Shannon's seminal work A Mathematical Theory of Communication, the DOI name is 10.1109/9780470544242.ch1. This can be resolved either by using this website, which also describes DOI names in detail; or by using a direct link, such as http://dx.doi.org/10.1109/9780470544242.ch1.
You can find these DOI numbers either by checking reference databases (which often include them) or by checking a website such as crossref.org.
IIRC, Mendeley actually includes a field for the DOI name, if known. I've seen it automatically populated when I use the browser clipping tool (sometimes, not always).
A link for every reference? In the paper or the database? In the paper this isn't really desirable to have urls, the doi will do. Use the hyperref package in latex to create clickable links in latex.
In the Mendeley database this already exists. Copy the doi of the paper into the doi textbox of the citation and click the search icon to the right. It fills all the reference info, including a link to the pdf on sciencedirect or where ever it is hosted.