This is a known problem, and we still haven't really found a nice solution for it.
The issue is that, as the xot files have active content (they load xml files at runtime) the browser refuse to do this if the files are located on a disk. So far we know that IE 9 and IE 10 work (after accepting a warning).
Easiest would be, if the XOT installation is on a server, to set the properties of the LO's to public (in properties), and use the link provided on the properties page to access the LO's.