Is this for local use? Or in a network (LAN) you control? Or is this for a machine that "faces" the internet?
In case of the first situation, you can get away with the use of HTTP protocol, instead of the HTTPS protocol. And if the files are stored on the computer running the kiosk software, the only thing you need to do to create a link in the HTML is: file:///C:\example\folder\structure\example_file_name.mp4 This will result in click-able links that open the linked file in the browser, not the default configured application. Depending on the file type you may need to install extensions in the browser to allow the browser to open them.
In case of the second situation, you can still get away with the use of the HTTP protocol, as your traffic remains in the LAN network you control. You will need to make the files available on a share if these files are located on a different computer in your network. You can assign a drive letter to that share and use: file:///Z:\example\LAN_share\example_file_name.pdf File will still be available as a link, your browser will still be able to open these if the appropriate extensions are installed.
In case of the 3rd situation, on a machine that "faces" the internet, you will need to use the HTTPS protocol. Most browsers won't allow any cross-link to the HTTP protocol anymore and only if the files are stored on the internet facing computer it might still be possible to link them in HTML using: file:///<drive letter>:\example\folder\example_file_name.rtf From a security standpoint, files stored directly on such a computer likely end up being more trouble than they are worth.
Unless I misread your request, a solution like: NextCloud may be much more useful. You have a nice web interface for file management, you can create a user in that ecosystem, which can only open files and nothing else, remove the password for that user and you have already practically all you need. Unfortunately, it is not a lightweight solution. And there is no version of NextCloud to install on Windows. Given the stance of the developers, there never will be a version for Windows either.
You'll need a computer (virtual or on real hardware), install Linux on it, turn that into a LAMP server, then install NextCloud on that machine, configure it with user accounts/rights/extensions to your needs and finally add the files you wish to be available in the NextCloud instance, turned into a kiosk of sorts. VirtualBox (for creating virtual computers) is freeware, Linux is open source and can be freely downloaded (Ubuntu Server LTS version, it is one of the simplest ones you can use, because the installer has an option to turn it into a LAMP server immediately), NextCloud is open source and can also be freely downloaded.
What it will cost, is time. How much time? If you are a quick learner, not as much as you would think. Configuring NextCloud will be a bit of a time sink, because you'll see what nice things the default version can do and then you'll get a whiff of the available extensions. You'll likely end up dreaming up much more use-cases for that NextCloud server. There is an on-line demo
available where you can try out NextCloud and get a glimps of it's features (for the instant trial, the password is: demo). It can be as open or as closed off as you want it to be. And it runs just as well on-premise as it does in any type of cloud setup too.