Notepad++ - file bookmarks working like web page bookmarks in web browser?

Look into Notepad++ session management

Sessions are a set of files opened in Notepad++. They store the open files, the active file (and which view, see the section about Multi-View), the current selection and position in the file, the current bookmarks (see Bookmarks) and the current language (see the section about Languages). Using sessions, you can open a set of (related) files with one action.

I know this is too late, but I found an answer, and decided to share it:

Explorer plugin for Notepad++ by Jens Lorenz has Favorites functionality.

A workaround. You can have a file called links.txt. Place full path to each favorite file as a separate line. After selecting a line press Alt-F5 (Run / Open file) to open it.