TLDR: URL encode your links. Will do a full write up later.
Your current links look like this:
LocalExplorer:\\server\path to doc\document.docx
The links need to become
LocalExplorer:%5C%5Cserver%5Cpath%20to%20doc%5Cdocument.docx
Full Write (W.I.P.)
For .NET Framework 4, you need to use this method:
Uri.EscapeDataString(@"\\server\path to doc\document.docx");
System.Web.HttpUtility.HtmlEncode() will not produce the desired output.