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Do post back when you get it working. I'm sure it can be done.
More clarification: for me it is better to work the backend so that the standard http URL works at the frontend for any file I want to provide links for. Those files might actually be somewhere else like across an NFS path, UNC path, somewhere else...
However, you have to consider who then has access. Once past the CMS user rights to the post/document with the link the server treats everyone the same. The rights to the files have to allow the web server user (typicaly a very low priv user) access (read by everyone perhaps?). If you use a UNC file path then the access is by the user actually making the request and sometimes that might be preferrable. So keep the files you don't want to provide to the web safe from the files you do. Use directories/folders wisely and train users that are creating the files to put them in the right place.