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I'm using Vista, which has a Network icon rather than a My Network Places icon. I don't have my computer connected to a network. You're right that there is no Network option within the Capture NX2 folders pane even though it appears within the Vista directory tree.
I had the same issue with an external drive (ethernet drive hanging off my router).
Try mapping the drive so that it gets a drive designation letter like "K:" and then you can navigate using the left side file directory. In my case this means I must log into the ethernet drive using software supplied with the drive in order to have read/write access.
Note also if you use the menu commands "file" Open folder in browser" you do have access to the my network places