Can I link things off of my website straight to my C drive, why or why not?

Answer 1

Why you can't is because you need to set your machine as a (web) server to do this you need to install something like apache or iis (the latter from the xp disk) once installed and running things located in the "web" folder will be available, they will be available over the whole internet if people know your ip address

Answer 2

You need to link to files on your website or another server. If you link to things located on your C drive, the link will work for you but nobody else will be able to see it because their computers will attempt to load that file from THEIR C drive.