One method is to use an HTML model dialog that would use javascript to open the desired link in a new browser window. Then it would close itself.
function onOpen(event) {
SpreadsheetApp.getUi().createMenu("My Menu")
.addItem('Open Link', 'showDialog')
.addToUi();
}
function showDialog() {
var DIALOG_TITLE = "Opening File..."
var ui = HtmlService.createTemplateFromFile('Dialog')
.evaluate()
.setWidth(400)
.setHeight(190);
SpreadsheetApp.getUi().showModalDialog(ui, DIALOG_TITLE);
}