Hyperlinks can locate files on your local hard drive or a network server. Just make sure people have access to those locations, or they may get an error message when clicking the link.
If you need people to access a file like a word processing document, add the file to your Web site (File menu, Import). That way you can use a relative URL to link to it.
You can also link to a file on your computer or a network server as shown here. However, keep in mind that if people don't have access to those locations, they may get an error message when trying to access the file.
For example, let's say you insert a hyperlink to C:\folder\filename.doc, and you publish your site to another server. When visitors to your site click this link, their browser will try to access C:\folder\filename.doc on their own computer. Chances are, they won't have the file and they will get an error message. This can be pretty frustrating if the link advertises something that they really need.
The same problem exists when you link to a file on a network server. For example, if you link to \\server\folder\filename.doc, and people who don't have access to that server click the link, they will get an error message. To solve this problem, make sure that the people using your site have access to that server.