As per this page it seems that you just need to put this in LocalSettings.php:

$wgUrlProtocols[] = "file://";

But I'm not entirely sure if that's all that's needed, as this page seems to indicate that other extensions are needed for various browsers, and for spaces in paths?

Basically, I just want a link to be able to open up a local folder (on our server) in Windows Explorer (if possible), or a local PDF/video/etc. file from our server.

Thanks,

Lionel