I'm glad this question was asked because the answer is a definite yes. One of the new features in Windows SharePoint Services 3.0 and Microsoft Office SharePoint Server 2007 is the ability to extend a document library to support multiple content types. (Content types are groups of settings that you can apply to a category of SharePoint content to help you organize content in a more meaningful way.) One of the built-in content types is Link to a Document. This content type lets you store a title and URL to an existing document in either that document library or a different one.
When you select Link to a Document, you're presented with the appropriate fields to enter the document name and location (URL). After you create a link to another document, the document name will be displayed in your document library and identified with the link icon. You can now access the linked document from this document library.