In the HTMLEditor/fckconfig.js file, you need to add php to the FCKConfig.LinkUploadAllowedExtensions:
FCKConfig.LinkUploadAllowedExtensions = ".(7z|aiff|asf|avi|bmp|csv|doc|fla|flv|gif|gz|gzip|jpeg|jpg|mid|mov|mp3|mp4|mpc|mpeg|mpg|ods|odt|pdf|png|ppt|pxd|qt|ram|rar|rm|rmi|rmvb|rtf|sdc|sitd|swf|sxc|sxw|tar|tgz|tif|tiff|txt|vsd|wav|wma|wmv|xls|xml|zip|php)$" ;
You will need to clear your browsers cache, then close and restart the browser for the change to take effect.