It looks like you have an email with a hyperlink/shortcut which points to a file.
Is that the complete error message?
Or is the actual error message "Wndows cannot access the specified device, path, or file. You may not have the appropriate permissions to access this item"
If you are getting the error message above, you may not have permission to access the specified file/folder.
You will need to find out what path the link is pointing to and contact your help desk/network administrators to gain access.
They would most likely need to know the path you require access to, as well as if you require read or read/write (full) access.
If authorization is required they will advise you.