You can create a Links List and for each item's URL instead of 'http://' use 'file://' and the UNC path -- Example: 'file://file-server-name/rest-of-path-to-file-or-folder' (I think 'file:\\' also works iirc). You can then click on the item and if points to folder, Windows Explorer opens on that folder, or if points to file, you get "Do you want to open or save file" (at least, that's what I get, except if it is a text file, it immediately opens in IE).
'file://' works great in Lists, but there's a caveat using it in Libraries and I am currently searching for a workaround -- The caveat is that 'file://' will not work in the default URL column of a Link to Document (though if you *add a URL column* in Link to Document or in any other Library Document content type I've tried such as MS Office documents, 'file://' will work in the column you added. It just won't work in the default Link to Document URL column.)