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You should be able to import files both from your local device and from any network folder that you can access from your device. As you can see below, when I import files, I have access to my local drives (C and D) and to all my Network drives (K, M, P etc), and I even see other devices on the network.
However, keep in mind that, as the name says, it’s an “import” and media will be copied in your Experience folder, it’s not a link to a distant folder, it’s a copy that is made upon importation.
I recommend you to browse the Fundamentals articles from our Help Center, it’s explained in this one: Adding content to your experience using assets and collections
You can watch indeed the content of a specific folder as explained in this dedicated article by using Windows Folders As Dynamic Source for Collections.
When you change the content of such a folder, the collection in your Experience will be changed on the fly.