I also wish that this would work, but apparently Trello does not support this. I am basing that on this help article from Trello - http://help.trello.com/article/1040-why-cant-i-open-file-links
In that article, they say that you cannot actually open a local file from Trello. The best that you can do is open a file stored on a service like Google Drive, DropBox, Box, or OneDrive from Trello. I suspect that the same is true for directories.
If storing the directory that you want to open on one of those services is acceptable, you might be able to take that approach.