A little more info.
The file is in shared folder, the folder structure is:
When I use:
<a href=\\server\website\somefolder\file.xls target=_blank> Open File.xls</ a>
The file opens fine... but it takes a really long time to open, on the other hand when I change the link to:
<a href=/somefolder/file.xls target=_blank> Open File.xls</ a>
The file opens way faster but in read only mode.