Of course it doesn't work because it adds http://to it.
And it is file://fatms0:/PSP/SYSTEM/BROWSER/bookmarks.html
Try
<a href="file://fatms0:/PSP/SYSTEM/BROWSER/bookmarks.html">BOOKMARKS</a>
I had to format my MS... I was hoping to save my bookmarks but too late now... lol... i have no paitence. lol