Google Chrome won't open URL files by double click
Solution 1:
This is a known issue with Google Chrome. See:Chrome doesn't recognise .url files properly
The workaround it to use an Extension such as .URL Handler
Once installed you need to go to Chrome > Preferences... > Extensions (chrome://extensions/) and check the [✔] Allow access to file URLs check box.
Solution 2:
OK did some digging around. It turns out that Google Chrome's security model normally doesn't allow clicking on .url files to open them.
There is a Chrome extension that will allow this though so the solution is easy for OSX users.