No it hasnt anything to do with your firewall...
He cant see what you have but you can see what you have.
Thats because he linked a frame to:
file://c:/
thats just an easy trick to fool somebody.
Sure it doesnt run on Linux:
You dont have IE
and you dont have C:\
because Linux uses an another partition.
(Dont know what it's called. But definetaly not Fat32)