The URI file://bender-xp/C$/ works in an anchor tag in IE8 to open the \\bender-xp\C$ file share on my network. In this case bender-xp was the name of my local machine but it works for remote file shares too (I tested it to a Samba share on another box).
Unfortunately my version of Firefox (version 9.0.1) doesn’t support this.
An update on file URL support in Firefox: http://www.progclub.org/blog/2012/01/15/uri-scheme/