Some document extension can't be opened from UNC link (file://) with IE11

I'm trying to open a Word document that is referenced on a website from a UNC link that lead to my local file ( file:///C:/Users/myUsername/Desktop/myWord.docx ).

So I added the website to my trusted sites. At this point I can open local .pdf, .mp4, .avi ( file:///C:/Users/myUsername/Desktop/myPdf.pdf ) but impossible to open Word, Excel, .png, .jpg, .txt, etc...

When I click on the link that refer to my Word document it simply does nothing (and there is no error in the console).

I really don't understand why it would let me open pdf and mp4 but not Word document...

Any clue would be very appreciated  :)

I'm using  Internet Explorer 11.492.16299.0 and windows 10

Pierre