Opening document through LinkToAction

Hi,

I have a LinkToAction UI element, this link points to a document.

The display of the link is like this

C:/Documents/New.doc

But when i click on this link, nothing is happening, whether i have to set some action in onActionLinkClick method or leave it blank ?

I thought the OS will automatically open this word doc.

Do i have to do any special settings in browser or server.

Thanks

Senthil