Opening a file on a local machine

[bwcc]

We have a site that currently links to an application which resides on a different server. We are changing that link so that it opens a that program on the user's machine.

For instance:

I have a file called 'test.doc' located in C:\My Documents

How would I create a link in the website that would open that file on my local computer? Is it also possible to throw an 'error' webpage if that file did not exist on the user's machine?

TIA

[bwcc]

Ok, are there any other sites and/or forums that you can recommend me looking at to try to find this solution?