Do you want to open a shared folder in Windows Explorer? You need to use a file: link, but there are caveats:
Internet Explorer will work if the link is a converted UNC path (file://server/share/folder/).
Firefox will work if the link is in its own mangled form using five slashes (file://///server/share/folder) and the user has disabled the security restriction on file: links in a page served over HTTP. Thankfully IE also accepts the mangled link form.
Opera, Safari and Chrome can not be convinced to open a file: link in a page served over HTTP.