The manual of hyperref says:
\url{URL}
Similar to \href{URL}{\nolinkurl{URL}}. Depending on the driver \href also tries to detect the link type. Thus the result can be a url link, file link, ..
With the command url you didn't specify the action run or file. All these methods are given in the documentation.
Yes, this is certainly possible using the hypertarget and href mechanism provided by the hyperref package.
Let's say that fileA.tex has
\documentclass{article}
\usepackage{lipsum}
\usepackage{hyperref}
\begin{document}
\lipsum
\hypertarget{fileAhypertarget}{Should come to this}
\end{document}
Then you can write fileB.tex as
\documentclass{article}
\usepackage{hyperref}
\begin{document}
\href{fileA.pdf#fileAhypertarget}{Let's go to file A!}
\end{document}
Note that not all pdf viewers support this- for example evince didn't give the correct behaviour, but acroread did.
Update following the comments
The lipsum package is used to generate sample text- you don't need it for most of your documents, but you'll see it used a lot here on tex exchange just to demonstrate MWEs.
You can automate the hypertarget mechanism for each section in lots of ways- here's one way using the titlesec package to help; note that I've commented out the showlabels package, but you might like to use it during debugging, it's really helpful!
fileA.tex
\documentclass{article}
\usepackage{lipsum} % for sample text
\usepackage{titlesec} % to change headings
% very useful during debugging!
%\usepackage[left]{showlabels}
%\showlabels{hypertarget}
% usually load the hyperref package last,
% see this for reference http://tex.stackexchange.com/questions/1863/which-packages-should-be-loaded-after-hyperref-instead-of-before
\usepackage{hyperref}
% renew \section to set a hypertarget
\titleformat{\section}
{\normalfont\Large\bfseries}
{\thesection}
{1pc}
{\hypertarget{myhypertarget\thesection}}
\begin{document}
\lipsum[1]
\section{First section}
\lipsum
\section{Second section}
\lipsum
\section{Third section}
\lipsum
\end{document}
fileB.tex
\documentclass{article}
\usepackage{hyperref}
\begin{document}
\href{fileA.pdf#myhypertarget1}{Let's go to Section 1!}
\href{fileA.pdf#myhypertarget2}{Let's go to Section 2!}
\href{fileA.pdf#myhypertarget3}{Let's go to Section 3!}
\end{document}
Best Answer
According to pp. 17f. of the user guide of the
hyperrefpackage, the "starred" forms of the macros that create cross-reference call-outs --\ref*,\pageref*,\autoref*, and\autopageref*-- are "[f]or instances where you want a reference to use the correct counter, but not to create a link" [emphasis added]Thus,
\autorefand\autoref*both create a cross-reference call-out, but the latter call-out isn't made into a hyperlink.