Here's a thought:
You want the user to see a directory -- i.e., Contents -- of
the separate volume, and you're looking for a way to open Windows
Explorer.
I would merge everything into a WebHelp package or CHM on the
CD. The main TOC functions as a substitute for the Windows
directory tree.
I guess you don't want to go to the trouble of merging all
that stuff into a WebHelp or chm package.
Rather than trying to open a directory in Windows Explorer,
open a new browser window with a single .htm file showing text
links that mirror the Windows explorer directory.
To keep it simple, you could list folder names and indent the
contents, simulating an expanded TOC.
Make it more complicated by having one htm file with all
directories closed, and another file for each directory, expanded
to show contents. A "back" link, in effect, goes up the directory
tree. For a little more trouble, if you have, say, six
sub-directories, make their surrogate TOC pages identical, with
closed directories, except the relevant one is expanded. Clicking
the base of another "folder" is, in effect, going up the tree.
How you distinguish between a CD holding the bonus material
vs. a directory on the hard drive, I'm not sure. Maybe the original
link would have an option: Go to the bonus on a CD, or go to the
bonus on the local drive.
Perhaps it's not what you're looking for, or too much
trouble. Just tossing out an idea that you could refine or reject.
Harvey