It's a tad out of topic but it related to my CF app.

I'm creating an autorun install CD.
My objective is to lauch an HTML file with a link to the setup.msi file.

The problem is the link don't work !
in my html file I have <a href="setup.msi">install</a>, the link is correct
if I copy paste its url in the file explorer it launch the msi however
nothing at all happen when I clic on it.

I have the same problem with a .pdf file, the link is correct but nothing at
all happen when I clic on the link.

At least with IE, I just tested with Firefox and it works just fine.
Any idea of what's going on ?