Use as follows:

{exp:link_icon link_title="" alt_tag=""}{custom_field_url}{/exp:link_icon}

link_title and alt_tag parameters are optional

Detects the file extension of the URL provided and adds an icon automatically to the right of it.

Works for: pdf, doc, docx, ppt, pptx, xls, xlsx, mp3, wav, txt, rss, ics, mov, mpg, mp4, avi, psd

Be sure to provide the full URL:

GOOD http://www.domain.com/path/to/file.doc 

BAD /path/to/file.doc