Filemaker files or files created by other applications?
If Files created by other applications, you can use the Insert File command to insert a reference to the file into a container field. Then, double clicking the container field will open the file. The field can also be setup with a script that opens the file also.
Open URL can be used also to open files, though I've recently been told here in the forum by another user that this option does not work well on Mac systems.