When you try to open a file with FILE:\\\\
via javascript in IE. IE will not allow you to open it (which is a by default behaviour) because of some security restrictions. I have faced this IE security issue before in multiple projects. You can try changing IE security settings as given below, but its not recommended (since you cannot change each and every User's setting to change the behaviour).
Following settings works for IE 8
In Internet Explorer, go to Tools → Internet Options → Advanced. Scroll down to the Security section and check the box for "Allow active content to run on files on My Computer".