On linux (I use ubuntu) I can have a window open that is a windows shared directory, using smb. I can right-click these files and have them startup with vlc via the right click context menu.
However, if I choose open file... from within vlc I cannot navigate to these shared files, as I can in windows. There should be someway to select these from the open dialog.
Also, it does not appear that these files can be drag/dropped into vlc from the smb file window. I don't really know how this is implemented in linux/ubuntu, but vlc does appear to react to the drag/drop - the cursor changes when the drop is over top of vlc. So, however the system handles drag/drop, vlc should be able to catch this drop and start up the file (closing down anything currently showing).
I don't use any other form of file sharing, but I would think any other type of file share should also be supported in this same way.