Using a sharepoint library to manage a central folder of shortcuts

A user asked me how they might go about setting up a sharepoint library so that it could contain a series of links that could then be synced to the team's desktop.

He initially thought about using the .url files, but those are blocked.

I know that technically I _could_ unblock those - but I presume Microsoft has them blocked for a security reason.

Is there a way, using out of the box SharePoint 2010, to set up things so that the library could be maintained and the shortcuts added, deleted, updated by changing a SharePoint library (or list)?

Thank you!