<file:///\\amber\Letters\Doctors\moo%20at%20home.ppt>
The link is often highlighted similar to a URL, except that when I click on the URL, it throws errors because it doesn't recognize the file format. I wrote a simple AppleScript that will transform the Windows-formatted file URL into a Mac-readable one -- it will automatically open when you select it. I make no claims that it will work for you, but it does work for me and a few other people that also use the Mac where I work.
Disclaimer: You will more than likely have to make changes to get it to work for you. If there is a better way to do this, please share with the rest of us. One thing to note, for instance, is how the volume mounts. In my case, sometime the file URL will say:
<file:///\\amber....etc.>
But when it mounts, it is actually AMBER, not amber. For another machine, it may be Amber. The point is that you will have to correct the portion of the script that contains amber if it doesn't work. You must highlight the file URL between the angled brackets. You must be connected to the server. You must also have checked "Enabled access for assistive devices" under Universal Access in System Preferences.
Compile the script an place it in ~/Documents/Microsoft User Data/Entourage Script Menu Items. If you like, you can give it a hot key at the end of the file name such as foocC.scpt -- the script can then be activated with a hotkey; Control-C in this case. Please note that other changes may include %20 actually being spaces such as:
<file:///\\amber\Letters\Doctors\moo at home>
If you are dealing with spaces, then just change the line that reads set mynull to "%20" to set mynull to " ".
[robg adds: I haven't tested this one...]

