The url you give in your question prompts the browser to look for that file on the users h drive and not on the splunk server. For security reasons you can not just point to any folder on the splunk server.
There is a way round this by uploading a file inside an app and then using its correct link. Let's say you have created an app called documentation. Go to manage apps> Click Edit Properties for your app. Upload your file with Upload assetand save
Once it is there, you can link to it with. "/static/app/documentation/MyFile.pdf" so you can make your html..
<a href="/static/app/documentation/MyFile.pdf" target="_blank">help with data</a>
If not, by default browser will not allow you to load local resources as it will expose malicious activity, you will have to host Help pdf file on a server and anchor should point to that http/https URL.