Link to files stored in drive
As I also stated in my comment, try to give a real network path. For example if the shared folder Z: is mapped to \\server\folder, the real network path of the file would be:


  file:///\\server\folder\popular-documents\how-to-use-pc.docx


UPDATE:

According to Link module page:


  Filter allowed protocols module This module allows you to change the default protocols that are set by Drupal to include new protocols like skype. The default protocols, for reference, are 'ftp', 'http', 'https', 'irc', 'mailto', 'news', 'nntp', 'rtsp', 'sftp', 'ssh', 'tel', 'telnet', and 'webcal'.


You can try this module to include 'file://' protocol.