How do I link to a local/internal file in Drupal 7?
This is a solution for Intranet deployments only.

Install the Any Menu Path and the Filter Allowed Protocols modules. 

Enable both modules and add "file" to the configuration  > text format > allowed protocols.

Edit the link in your menu to read file:///directory/file.html. Check the box labeled "No Path Validation" and save.

If it still doesn't work, check to make sure your browser doesn't need extensions or privacy settings adjusted to accept the file:/// protocol.