You can do this with a combination of Javascript and ActiveX, which may well be limiting for your user base, I don’t know. Or you could try simple “URLs” to the c:\ drive – again, many points of failure, and limited in scope.
Subject: RE: Launch an application from a web browser
I think you will find that IE is configured to not allow activities like that since it could easily be exploited by evil web developers.
Depending on your infrastructure, you could put the application or file that you want to launch on a network share and create a link to it something like this: