Here’s a link to a Jing-cast I just did showing you how to link to pretty much anything in iTunes through a web browser. And yes, you do need iTunes installed on your or your intended user’s computers.
How-To video – http://www.screencast.com/t/49AEIUIq
Previous post on Jing – http://www.nmrls.org/ce/stt/?p=113
iTunes U links on Scott’s delicious.com – http://delicious.com/bibliotechy/itunesu