The best option here is to set the property 'Is Hyperlink = yes" which means if there is a UNC path in the text box you only need to click it once to open the folder. You will find this property if you right click the text box and select properties, on the format tab scroll down to the bottom...
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you could also create a DTS package on the SQL server which would dump all the data you need into access very easily, all you need to do is specify one or 2 parameters and 'Hey Presto' your data is in access. the other option would be to right click on the database and just select...