How to avoid file download warnings for links to Internet shortcut files?

I use win2000 and IE6.

I have an intranet web page that links to all the files in a folder.

Example: if the file's path is 'S:/Intranet Forms/Presley.doc then the
html is

<a href='S:\\Intranet Forms\Presley.doc' target=_parent
>Presley.doc</a>

This works fine for all files except Intranet shortcut files. For those
a 'File download' warning window comes up.

To solve the problem I let my program detect Internet shortcut files by
their .url extension and read inside the shortcut file to get the url
and use that for the href part.

This works well, but isn't there a simpler way to avoid the File
Download warning?

Regards,

Jan Nordgreen