How to link a Network Folder with Objects in M-Files

Yes, via the Network Folder Connector. This gives you access to the files in a network folder in the M-Files client and you can promote the files to managed objects by adding metadata to them. So this is a way to link the files to M-Files objects, you can for instance define which project or customer the files are related to.

If you haven't used these repository connectors before, you can read more about the general concepts in Intelligent Metadata Layer Overview.