Azure file storage access document with direct link
Direct access to files stored in file service is not allowed because the share containing these files has Private ACL and unlike blob containers there's no way to change the ACL of a share.
What you would need to do is create a Shared Access Signature (SAS) on the file that you want to access directly and use that SAS URL. When creating the SAS, please ensure that at least Read permission is included in the SAS as this permission is required to read/download the file.
Please see https://azure.microsoft.com/en-in/documentation/articles/storage-dotnet-how-to-use-files/#develop-with-file-storage (Generate a shared access signature for a file or file share) for more details on how you can create a SAS on a file.