Three possibilities tested on Windws XP:
create a new action of Type "Generic", action:
cmd /c [% "url" %]
where path is a field containg the full pathname: D:\Download\test.pdf
create a new action of Type "Windows", action:
"C:\Programme\Adobe\Reader 9.0\Reader\AcroRd32.exe" "[% "path" %]"
where path is a field containg the full pathname: D:\Download\test.pdf
install apache for your local PC, point localhost to the root of D:\
In Qgis, action of type "Open", action:
http://[% "url" %]
where url is a field with the path in format localhost/download/test.pdf
Some programming languages allow files to be accessed by file://D:/, but this does not work here.