There is a faster way for windows 8. Just shift + right click on the local file you want to link, click copy as a path, then go to Evernote, highlight the text you want to be the link, then erase the "http:///" default start, and paste the link created for the local file. Then, just erase the quotations ("), both the ones from the end and the beginning of the link, then click OK and thats it.