The above shows you how to create a link in Evernote, it doesn't show you how to create the actual clickable link, other than knowing the syntax for the text.
To create an actual clickable link, you need to have the downloaded version of Evernote, not the AppStore versions (sandboxing issues).
Select the file you want to link and then drag it into a web browser url area - Firefox works consistently for me.
Copy that text and paste it into the dialog box above, this will create a clickable link that opens the file (or folder) that is in the path.