Wouldn't you just export via CSV like you normally do and then have Excel extract what it needs and convert it to what you want.
Seeing as how the link is just made from the productid (or some other field inside your CSV) you can just concatenate strings together to create the URL.
Or the other option would be to clone the export to CSV and modify it to your needs. Shouldn't be all that hard seeing as how every element of the design is already implemented in different part of your website.
I would take a look at the froogle export since it should contain an URL.
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