I would like to make a link from a web page to a file on a local filesystem and make it work in all browsers (or at least in Internet Explorer, Firefox and Chrome).
Links to local files on pages that were retrieved via HTTP(S) are deliberately disabled in Mozilla/Firefox, because they can be a security risk, and have been used in attacks in the past.
You can override this behaviour, however. For details, see this article in MozillaZine.
try prefixing your url with file:///