Loki, you are thinking of the URL catcher. Track URLs is separate feature on a channel/query window's system menu.
Lillebakken, the Track URLs feature does work, however the URL catcher itself must also be enabled for it to have any effect. Go to Tools > Options, look in the IRC > Catching category, and check "Enable catching for: [x] URLs". Then turn Track URLs on for a window, and links will now automatically open in your web browser.
I wonder if it's a bug that URL catching must be enabled for Track URLs to work. A catcher and a launcher seem like significantly unique features for there to be interdependence...