Hyperlink to local folder

I have created a custom hyperlink field.  I am trying to use it to create a link to a folder in an external document management system.  The folders appear to be on the user's local drive, so the hyperlink looks something like:
file://C:\Vault\Customers\Folder
The problem is that nothing happens when I click on the link.  It works perfectly when I type the link directly into the Internet Explorer address bar.  The link also works from within Netsuite when it references an external website (eg http://www.google.com).
  Has anyone had experience linking to local folders?  Does IE9 block links to the local file system, or is this an issue with Netsuite?