It's not officially supported, but the file:/// format will work if your browser supports it.
We've only been able to get it to work using suggestions for FireFox:
In addition to FireFox, in Chrome, if you launch it from the command line as: chrome.exe --allow-file-access-from-files then it will allow you to open local links.
Installing the chrome extension "local links" also solves the problem, but only when you access Workflowy via Chrome, and NOT via the Chrome App Launcher
Check out "LocalLinks": https://chrome.google.com/webstore/detail/locallinks/jllpkdkcdjndhggodimiphkghogcpida