If you are not using Access 2007, then I would use the following approach.
In the database, I would have a text field that has the path to the document. Then create a simple form and on that form have a control that holds the path (you can set the visible property to no for this contol so your users do not see it). Also, add a button to the form. In the on click event of the button you can run this code:
If IsNull(Me.NameOfControlThatHoldsThePath) Then
MsgBox "No link exists"
Exit Sub
Else
Application.FollowHyperlink Me.NameOfControlThatHoldsThePath
End If
Access 2007 has the capability of storing attachments, but I don't know if having many attachments will bloat the size of the database.