Is the file being served by FMP/S or is it a file on a file server using the OS file sharing?
If its shared with FMP/S then you do not include the folder name in the path as the file is directly served by the FM host. Looks like this in the FMP Open Remote dialog:
If its on a file server then you need to include the volume or network location of the external server. Also the entire path to the file needs to be shared.