Depends on if it is local/network file or a web link. For the former:
Sub email()
  Dim body As String
  With CreateObject("Outlook.Application").CreateItem(0)
    .To = "ken@gmail.com"
    .Subject = "Test Click Here (Notepad.exe)"
    .Display
    body = .HTMLBody
    .HTMLBody = "Body " & vbCrLf & body & "<p>" & "<a href=""File://c:/Windows/Notepad.exe"">Click Here</a>"
    .Display
    '.Send
  End With
End Sub
If the latter, put the url between the double quotes.