IE 11 window.open file:// results in JavaScript runtime error: Access is denied

We have an intranet site, and our users use IE 11.
On IE 11, on the URL I can type in
file:///C:/myLocalMachineFolder/myFile.pdf
or
file:///myServer/myFolder/myFile.pdf

On myServer, I created a Virtual directory myFolder that points to a folder on myServer.

But, if I do this in from the code (from a View)

return window.open("file:///C:/myLocalMachineFolder/myFile.pdf");

or

return window.open(file:///myServer/myFolder/myFile.pdf);    

I get the error: 0x80070005 - JavaScript runtime error: Access is denied

What can I do to fix it ?
Thank you.