I think the problem here is not the appearance of the link, but that the user doesn't necessarily expect more information to be available.
Most error reporting to users tends to be one-off statements like "file not found", and therefore they most likely won't expect to see anything more than that. They aren't thinking "how can I get the detailed error information?"
So, even if you make the link more obvious, it doesn't really solve the problem. If you make the link really, really, painfully obvious, you will succeed in getting the user thinking "Oh, that's a link to something." But they still won't know its purpose and might not click on it.
This is compounded by the fact that a filename that is a link tends to be a link to the file itself. The user will probably assume that is the case (for most error messages--obviously for this particular error message it doesn't make sense, since you couldn't link to a file that is not found).
You need an additional link such as "More information" that informs the user that a more detailed error report is available.