How can I open Windows network links on Mac OS X?
Under the finder menu, choose 'Go' -> 'Connect to Server'.

In the box that appears you need to type the path to the SMB server share.

SMB stands for Server Message Block, which windows understands.

The path would look like this...

smb://ServerName/SharedFolder

I have done this on OSX Tiger and Lion.

There are many tutorials available, such as this one on lifehacker