Nope. This isn't possible currently in Notezilla . Because Notezilla notes do not know the location of the file or address of the website. It knows only the title of the window to which the note is attached.
The sticky note is associated with the window (title of the window). So it does not know which file is opened in that window. For this reason the file cannot be opened from the note.
Watch the short video given below for more clarity on the feature: