We would like this for our organisation too.

There are some options but it is a little complex...
Easiest method is to use an App from the Appexchange. XfilesPro (https://appexchange.salesforce.com/appxListingDetail?listingId=a0N30000008YbzMEAS) looks like it does exactly what you and many people on a couple of other threads similar to this one have asked for. There are other apps available that may be suitable too - FTP Attachments (https://appexchange.salesforce.com/appxListingDetail?listingId=a0N300000016ZwDEAU) but the XfilesPro looked exactly the right solution.

Alternatively, you can try and fashion your own solution using a formula field to construct the file link. See Trailblazers page (I want to create a link to stored documents on a network drive for an opportunit (https://trailblazers.salesforce.com/answers?id=90630000000gj1VAAQ)) but depending on the web browser you use and the security settings, you may/may not be able to open links to files on a network unless they are set as secure and to do this you may need to use a browser extension or add-on (e.g Google Chrome Extension: Enable Local File Links (https://chrome.google.com/webstore/detail/enable-local-file-links/nikfmfgobenbhmocjaaboihbeocackld))

To construct the formula field to create file links I found this helpful:

Knowledge Article Number: 838295
Description
Steps to create a formula field which contains an hyperlink to a local file.

Resolution
For creating a link to a network/local file, you may need a custom text file (to introduce the path) and a formula field. A URL field will always add "http://" prefix.  Please follow the steps below:

1. Create a text field (for example, with the following name: "Path")
(Setup | Customize | {Object} |Fields and click New in the Custom Fields & Relationships section of the page)
2. Create formula field with data type: Text (for example, with the following name: "File")  to link to that file:

HYPERLINK("file://"&{!Path__c},"View")

You now have a link, called "View," for example, with which the file can be accessed directly from the object by right clicking and selecting "Save Target As."

You can also use this concept to point to network folders - create a formula field on the Account record which links to the network folder for that client, etc.
NOTE: For security purposes, Mozilla applications block links to local files (and directories) from remote files. This includes linking to files on your hard drive, on mapped network drives, and accessible via (UNC) paths. To have access to those files you need to install "Local Link" add-on in your Firefox: http://kb.mozillazine.org/Links_to_local_pages_don%27t_work

Hope this helps you soujanya rachakonda 15 as it may be a few years late for Meenu. I think we will be going for theXfilesPro Appexchange option ourselves.