Verena,
The short answer is yes it is possible, but depending on the number
(amount) of links that you have to create, it could be faster to make
them manually. Sorry I don't know of any already written DXL that will
meet your requirements. I checked a couple of different forums without
any luck. I does peak my interest because I could use it myself. It
would be possible to write a dbe to select an object and associate it
with a file and complete the External command, but again it depends on
the amount of time you have to write DXL.
Depending on your experience with DXL, you can use Stream and Buffer
to read a file containing the path and filenames of each drawing, and
use the results with ExternalLink to create links, but that's as far
as I have gotten in my thought process