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Calling a Program
you mean using html? Not cgi scripts or javascript or php?
erhm, using just html you could make a clickable link
markup<a href="File://C:/dir/file.exe">Clickyme</a>
If you want to run the file automaticly you could use meta-refresh to redirect instantly:
markup<meta http-equiv="refresh" content="0;URL=file://C:/dir/file.exe/" />