Found some instructions about How to open file links in Firefox 1.5 and above and I’m going to try it out just as soon as I can reset my browser.

Basically you add something like the following to your user.js file which is in C:\Documents and Settings\[User Name]\Application Data\Mozilla\Firefox\Profiles\[Profile]\user.js.

user_pref("capability.policy.policynames", "localfilelinks");
user_pref("capability.policy.localfilelinks.sites", "http://www.example.com");
user_pref("capability.policy.localfilelinks.checkloaduri.enabled", "allAccess");