When Clicking on a link from a local or network share on a Xendesktop 5 image, an error with cannot access \\client\c$\users\desktop\file.doc
This is a problem as you have to manually open the application and then select the file from within the application, making the user experiance quite unfriendly.
Make sure that from the policies in the Xenapp console you have Auto Client device redirection enabled, as if this is disabled this will not work.
Then you must update the registry as per below on the XD image,
On the master image if using MCS or if using PVS boot an image in private mode as per the Support article : http://support.citrix.com/article/CTX238200
Create the Reg Value: NativeDriveMapping
Reg Type: REG_SZ
Add the Value: True
Then change your image from private to standard and test again, or if using MCS, update the machines from the master image and the problem is resolved