This section of the Preferences dialog only appears when KildClient is run in Linux.
The figure below shows the External Programs section of the Preferences dialog:
In this section you can configure the command that will be run when you right-click in a URL that appears in the MUD window and select Open Link. The command will be executed, with %s replaced with the URL's address. The ampersand (&) in the end means that the command is to be executed in the background, so that you can continue using KildClient while browsing the URL.
You can also set a command used to play audio files (see Section 7.3). Enter the command, with %s in the place of the file path. The default should work (it uses the SOX program, which is usually installed), but you can use other commands if you use ALSA, ARTS, ESD, JACK, etc.