Is there any trick to play html videos from the client's PC with IE 11?
Something like
<video src="file://c:/path_to_video/video1.mp4" ...>
is blocked by the browser security policy, but i want to give the possibility to grant or deny the access
You would not generally know where a user has a video file stored so this would be a strange use case - I guess you might be targeting an enterprise environment where all the PC's are set up the same way, but even then you would be at the mercy of someone moving a file or changing their directory structure.
A more normal use case is to allow the user select the video they want to play by browsing their local files - this may be what you actually want?
If so this is possible - see this answer which includes a working example: