Application.OpenURL sends the URL to the browser which handles it from there on. Assuming the URL is OK, check that the browser is handling it correctly.
If you want to load a unity 3d file in the current web player then you should use:
function Start () {
// Start streaming the data file
var stream =
new WWW ("http://www.unity3d.com/webplayers/Lightning/lightning.unity3d");
// Yield until stream is done
yield stream;
// Load it!
stream.LoadUnityWeb();
}
and in case you want to tell the browser to open content like an image, html page or any browser enabled content then you should use: