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Some browsers do not allow access to your local disk (with a file: link) from web pages served by a web server (thus from http: pages).
To visit such a file: link anyway, you must right-click on the link, select Copy Link Location, paste the link location in the Location Bar and press Enter.
In Netscape 6 and 7 and Mozilla, you can also open the Open Web Location window with Ctrl-Shift-L, paste the just selected link location with Ctrl-V, select Open in Current Navigator Window (or any other option you desire) and press Enter.
Once you got to such a file: page, the rest works as before ... you only have to do this operation once, with the transition of a http: page to a file: page.
With some browsers you might be able to turn off this access control mechanism. We strongly advise against turning it off because it really is a good security behaviour, stopping unwanted access to your local disk. By turning it off, you open your disk to malicious web pages and their creators.
Besides the above browser/security reasons not to use file: links, there are also more semantic reasons why you should avoid them: they are not a reliable way to refer to pages because the exact path to such files most probably differs depending from which client/location you try to access them. Read more about this here.