I have been provided with a link "file://blahblah" but I have no idea how to use it. When I put it into the explorer address bar, it says file not found. I am on the same network but could be behind a firewall (different segments).
The file:// prefix can refer to a file on the local file system or another system on the network. You were right to put it in a Windows Explorer window and try to access it. They most likely sent you a bad link to a file on a shared folder on your network and you should ask them to resend it.
To download a file from network, access this way:-
file:// URL refers to a local file and the browser searches for the file on your machine. The URL most likely refers to a file on the machine of the person that sent you the URL.
The only way to get the file is ask the person if the file is available online and provide a correct URL.