This is a special URL value used to locate ActiveX objects within the file system of the PC running the client browser. This is likely only available in Windows versions of the MSIE browser because that is the only platform that supports ActiveX objects. It is not supported on the Macintosh version of MSIE because ActiveX objects aren't available there. This is because they are compiled x86 micro-code and therefore cannot run in a non-Intel environment (unless the x86 CPU is being emulated).
The ActiveX control needs to have been registered and installed already. It is possible to construct an <OBJECT> tag that conveys sufficient information to locate and install a missing ActiveX control but this can be a quite involved process.