Updated: 2019-06-28. Fixed link rot.
A bunch of bloggers don’t know the difference between a URL and a SLURL. The simple explanation, if a web page link opens a web page, image, video, whatever in a web browser it is a URL.
If it opens a viewer, then it is SLURL.
A URL: https://maps.secondlife.com/secondlife/Echo%20Cove/197/193/25
A SLURL: secondlife://ECHO%20COVE/197/193/25
Click each of the above to see the difference in behavior.

I’ll send flowers into the sky to find you
On the second one, Windows or your anti-virus may complain saying clicking this link may be a security risk. This is both of those saying ‘I don’t know what this is, so I’ll tell you it may be dangerous, just in case.’ But, if you go to the SL Maps page, the first URL, and look at the SLURL shown when you hover over “Visit this Location” link, you’ll see they are the same.
You can decide for yourself by going to the SL Maps page, the first URL, and looking at the SLURL shown when you hover over “Visit this Location” link, you’ll see it shows the same link address I show here.
Control
The behavior when clicking a SLURL is controlled by you. Settings in Windows and/or your web browser control what happens when you click.
The Firestorm team has made an elegant fix. See: Second Life: How to FIX SLURL’s (2016). Fortunately, it works for all viewers Linden and third-party. Unfortunately, it is a Windows-only solution. To get the proxy for SLURL control see: SLURL Proxy.
If you want a more technical explanation, see: Emerald Viewer vs SLURL (2010). While that is a 2010 solution that uses the old banished Emerald Viewer as an example, it still works. Just change the names to avoid the guilty.