I don't think the browser will let you open a local resource from a web page loaded from a remote system. This would be a security violation. A signed applet, because it has to be approved to access local resources can get around this.
Note: I've not tried this, I'm just speculating on how I would do it. I have used a signed, Java applet to get at some local networking parameters for use in a Wake on LAN application so I know that signed applets are allowed to interact with the system in ways that browsers can't.
The only way I can think to do this would involve a signed, Java applet running on your page. Essentially what you'd do is provide the file to the applet and have it open up a new browser window with the file's URL. Since the applet is trusted by the local system it should have access to the local hard drive and should be able to start up a new application.
To me it seems a bit of an overkill for a redirection problem like this: I don't need any access to the local system, just provide the browser with an address to go to :)