You can use file system links to do the trick. It sounds like you have a file that you are sharing on a network drive, but also needs to be in your programs directory to run the program?
What a link does is similar to a shortcut, except it fools most programs into thinking the file is really there. What you would want to do (granting that my assumptions about your situation are true) is put the file out on the network drive or shared space; you will want this to be a mapped network drive with a letter, and you'll need to know the path to the file.
I'm going to assume your using windows 7 or Vista, if your using Windows XP it is also possible but the steps are quite different.
Open a command prompt as administrator:
Click start, type cmd in the search bar, and press CTRL + SHIFT then while holding those to press ENTER, it should do a popup asking for permission, say yes.
Navigate to the location where you want the file to show up for your program:
type 'C:' hit ENTER (this puts you on your C drive.
type 'cd \' hit ENTER (this takes you to the root of the C drive)
type 'cd "program files\some program\data files\"' this will change your directory to the directory where you want to be able to access the file from. (be sure to put a set of quotes around the path you type after cd)
Make the link:
type 'mklink "file name.extension" "Z:\path\to\the\file\on\network\drive\file name.extension"' you'll want to make sure you have the file extension the same in both places (like .doc for a word file, or .txt for a notepad file), the file name can be different in the two locations. If this throws an error, I try swapping the order of the things in quotes after mklink, and be sure to include the double quotes.
Worst case scenario, if you can post the paths where you want things to go, i can give you the exact lines to type out
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