If you generally mean that you have a custom field and you want whatever users enter there to be linked in some way, then you can do this via the "value display HTML" option for the field. Roughly speaking, you'd need a URL that could represent a search query though, assuming this is a free form field.
If you need to do anything more advanced (such as where they enter the artist URL and name in separate fields), you'd need to do more advanced/custom template changes to specifically link those fields together in the particular way you need.