Hi Scott,
This is some kind of browser security issue that you have hit here, and despite repeated attempts, I wasn't able to find any solution. There are multiple reports of this problem that I noticed during my Googling, but no definite solution.
Visual WebGui does actually play no role in this problem, and you should test this and try finding a workaround by not going through Visual WebGui for starters, so you can concentrate on the problem at hand. You can do this for instance by placing an HtmlBox inside your Visual WebGui form, and then set it's contents using the following:
this.htmlBox1.Html = "<a href=\"\" onclick=\"window.open('file://YourDNS/YourShare/YourFile.txt');return false;\">Open File</a>";
You can also create an Html page within your project, bypassing Visual WebGui altogether and placing the following inside the body:
<a href="" onclick="window.open('file://YourDNS/YourShare/YourFile.txt');return false;">Open File</a>
Both of these tests failed in my environment.
I will ask around if someone knows how to work around this in JavaScript and if I do, I will post my results here.
Palli