Recently Firefox/Mozilla/(Thuderbird?) had a problem where clicking on a certain type of link could execute a local file. They quickly (same-day) developed a fix for it.. so I believe what you want to do is exactly the thing that was considered a 'security hole' hehe.
It was called the 'shell: protocol' security hole (or similar). More info is available here:
Bug 250180 - Shell: protocol allows access to local files and can lead to a DOS
What Mozilla users should know about the shell: protocol security issue
Someone may be able to clear this up better than I have. I'm not sure if you can still run files (or the proper syntax to test it) after the fix has been applied.
And redlemon beat me to it
