This isn't an OBIEE issue or related topic.
It's the browsers limiting that kind of local access for security reasons.
If you google for that you find details on the why and some possible options and workaround.
But it's not because the link is in OBIEE: any page with local folder links will not work in Firefox or Chrome out of the box.
We have the latest version : 220.127.116.116.
We're just trying to find a way to make some help documentation available to users when they're logged in OBIEE.
Some times IE does favor and things works
if you share your code that helps to look at it.
any error message from chrome/ff ?
The least painful way would be to make those help documentation available via OHS and change the links to point to the OHS URL.