I connect my Mac to an exchange server every day at work. I am also Microsoft Entourage user. Often times, I will receive an email from someone with a link pointing to a file; the link is in this format:
<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.
<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.
<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 " ".
Mac OS X Hints
http://hints.macworld.com/article.php?story=20050223235851157