You can store any file type in a calibre book, but only one of any given type; e.g. you could store a script as a PDF and a movie as an mp4.
You can store a link to any URI in a custom column. Including a web page, a file, another book in another calibre library, a note in an notebook application like OneNote, Evernote, etc.
Here is a simple example of storing a clickable web page url
Define a custom column
Cloak the custom column with an icon
Copy the web page URL to the clipboard. Then edit the custom column in the booklist with F2 and use the Link tool (Ctrl+L)
When you click the custom column value in the Book Details panel the web page will pop in your default browser.
And here's the doco on calibre's links
The calibre:// URL scheme
BR