Can you provide any detail such as screenshots, so that we can see the specific error you are receiving?
Are there any alternative options that would work for Chrome/Firefox or does this only work for Internet Explorer?
For Chrome, I believe that if you go to chrome://extensions, and check 'Allow access to file URLs' then that should work
Don't know about Firefox
The following article should explain why these URL's are being blocked, and provide a possible workaround using the tabadmin set feature in Tableau Server.
Hope this helps!