Map a drive to that folder.
Put a shortcut on your desktop and launch files from Windows Explorer. I rarely if ever open files from within SW File Open dialog.
Sounds like you're from an Inventor background.
There are a lot of ways to address this.
My first recommendation would be to install and use Workgroup PDM on your server. PDM creates a vault system for storing and archiving and assigning ownership to files and serves them to your local workstation for editing afterwhich you check the files back into the vault and update them. That's really the preferred method of working with SolidWorks files. SolidWorks puts heavey demands on the I/O bus and unless you're running fibre cable and switches, most networks can't handle it. Add to that that simple Windows file architecture doesn't make simple taking ownership of a file for editing or retaining it after it's closed and saved. PDM eliminates the need to move files around, copy and rename them or hunt for them in folder structures in order to maintain an organizational structure.
If you have SolidWorks Proffesional or Premium, it comes with a license for that software. You can instll the vault and clients right off the CD. Prior to doing that you should go through the tutorials included with SolidWorks to get a clear idea of what's involved in implementing a vault.
However, If you're in one of those situations where you have to store your files on the network, then there are some settings in SolidWorks and SolidWorks explorer that can make finding your settings easier.
First, if you edit your files in place-that is, you open your assemblies from the server and save them to the server, then the locations of all of the references of an assembly are saved in the assembly. To have solidworks use these stored locations, goto Options:System Options:External References and uncheck Use File Locations for External References.
This approach is not very robust, however. If you move files from one folder to another for any reason, SolidWorks will fail in attempting to locate those references and throw a browse dialog at your for each one. In this case, your best bet is to add folders to your search path and check the Use File Locations for External References checkbox. To add folders to your search path go into Options:System Options: File Locations, change the drop-down list to Referenced Documents. Then, use the Add... button to add folder locations to your referenced document search path. Note, however, that if you check Search file locations for External References, SolidWorks will always check the folders in the search path first-even if the referenced files are sitting in the same folder as the assembly. If the search path has a lot of folders, especially on the network, your file load times are going to increase and network collisions might cause system instability or "Failed to Save" errors. So don't think of this as the cheaper alternative to Workgroup PDM.
The cheaper alternative to PDM is probably TeamPlatform or Dropbox
Anyway, good luck.