Try formatting a link something like this:
file://///<servername>/<directory>/<filename>
For instance, a file named "bookmarks.html" in the "John" folder in the "Backup" shared folder on the "Server" server would look like:
file://///Server/Backup/John/bookmarks.html
.............
You can try to get the exact syntax by using your web browser, going File-Open, browsing your network to the server/folder, opening the file in question, and then copying the link.