When creating a custom file:/// anchor in a user story or defect, the resulting file anchor is not followable. The anchor appears to be followable, however clicking the link doesn't bring up the bubble with the link in it.
Rally/Agile Central SaaS and On-premises
There is no resolution from the product side as this is design behavior of browsers.
Suggested workaround is to add a web server and reference the needed files via a supported protocol such as http/https.